Fr 2004fm

Board of Governors of the Federal Reserve System

Instructions for Preparation of

Government Securities Dealers Reports

Reporting Form FR 2004
Issued January 2015

Contents for
FR 2004 Instructions

I. GENERAL INSTRUCTIONS
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 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D. Who Must Report . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
• Reporting Dealers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
• Consolidation Rules . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
E. Submission of Reports . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
• Where to Report . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
• Report dates and Due Dates . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

GEN-1
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II. WHAT TO REPORT
A.
B.
C.
D.
E.
F.

Reportable Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Do Not Report . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Allotments of New Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Underwriting of Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Security Buybacks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Prime Brokerage Reporting . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

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III. REPORTING INSTRUCTIONS
A. FR 2004A – Weekly Report of Dealer Positions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
• Accounting Rules . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
• Reportable Positions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
• Gross Long . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
FR 2004
Contents January 2015

A-1
A-2
A-2
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Contents-1

Contents

• Gross Short . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
• Line-by-Line Instructions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
• Maturity Classifications . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B. FR 2004B – Weekly Report of Cumulative Dealer Transactions . . . . . . . . . . . . . . . . . . .
• Accounting Rules . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
• Reportable Transactions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
• Counterparty Categories . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
• With Inter-dealer Brokers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
• With Others . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
• Line-by-Line Instructions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
• Maturity Classifications . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
• Cancels and Corrections . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C. FR 2004C – Weekly Report of Dealer Financing and Fails . . . . . . . . . . . . . . . . . . . . . . . .
• Accounting Rules . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
• Securities Financings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
• Settlement Fails . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
• Types of Financing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
• Line-by-Line Instructions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
• Maturity Terms . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
• Repurchase Agreements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
• Reverse Repurchase Agreements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
• Other Financing – Securities Lent . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
• Other Financing – Securities Borrowed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
• Aggregate Settlement Fails . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
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 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
• Columns 5, 6, 9, 10 Specific Transactions . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
• Columns 7, 8, 11, 12 General . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
• Columns 13 and 14 Fails . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
• Column 15 FRBNY Security ID . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
• Line-by-Line Instructions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Contents-2

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FR 2004
Contents January 2015

Contents

E.

FR 2004SD – Daily Report of Specific Issues . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
• Accounting Rules . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
• Reportable Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
• Column 1 Security and Rate . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
• Supplemental information . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
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 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
G. FR 2004FA – Settlement Cycle Report of Dealer Fails and Transaction
Volumes Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
• Accounting Rules . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
• No Activity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
• Line-by-Line Instructions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
H. FR 2004FB – Settlement Cycle Report of Dealer Fails and Transaction
Volumes Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
• Accounting Rules . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
• No Activity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
• Line-by-Line Instructions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
I. FR 2004FC – Settlement Cycle Report of Dealer Fails and Transaction
Volumes Class C . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
• Accounting Rules . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
• No Activity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
• Line-by-Line Instructions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
J. FR 2004FM – Settlement Cycle Report of Dealer Fails and Transaction
Volumes Class A, B, and C . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
• Accounting Rules . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
• No Activity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
• Line-by-Line Instructions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Appendix A – Comparisons Between and Within Reports . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
• FR 2004A vs. FR 2004B . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
• FR 2004C (line 3) vs. FR 2004C (memorandum) . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
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Contents January 2015

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WI-2
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APP-A-1
APP-A-1
APP-A-1
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Contents

•
•
•
•

FR 2004A vs. FR 2004SI and FR 2004WI . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
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 – Reporting Examples . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
• FR 2004SI . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
• FR 2004SD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Appendix C – Glossary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Contents-4

APP-A-1
APP-A-1
APP-A-1
APP-A-1
APP-A-1
APP-A-1
APP-A-1
APP-B-1
APP-B-1
APP-B-1
APP-C-1

FR 2004
Contents January 2015

INSTRUCTIONS FOR PREPARATION OF

Government Securities Dealers Reports
FR 2004

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

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 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

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).
FR 2004
General Instructions January 2015

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 3 hours for the FR 2004A,
3.70 hours for the FR 2004B, 3.1 hours for the FR 2004C,
2.2 hours for the FR 2004SI, 2.2 hours for the FR 2004SD,
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
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General Instructions

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.
GEN-2

Officer Declaration and Signature
Each FR 2004 report (A, B, C, SI, SD, 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.
FR 2004
General Instructions January 2015

General Instructions

Direct
Parent of
Primary
Dealer

Company A
(Primary Dealer
Affiliate)

Trades between
consolidated and
unconsolidated
entities are
reportable.

Company B
(Not Affiliate of
Primary Dealer)

These entities are
not consolidated
with the primary
dealer.

Primary
Dealer

Company C
(Direct Subsidiary of
Primary Dealer)

Company B
(Not Affiliate of
Primary Dealer)

Affiliates are companies under the control of the direct
parent of the primary dealer. The following illustrates the
FR 2004 consolidation rules.

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/

FR 2004
General Instructions January 2015

These entities
are consolidated
with the
primary
dealer

Company E
(Consolidated Subsidiary
of Primary Dealer)

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 FR 2004WI, FR 2004FA,
FR 2004FB, FR 2004FC, or FR 2004FM deadline date)
to: 212-720-5030 or 646-720-5030. Prior to faxing
reports, please call FRBNY Statistics Function at 212720-7993 or 646-720-7993. Data that are faxed to
FRBNY must subsequently be submitted via the Reporting Central system.

GEN-3

General Instructions

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.

both the interest-only (IO) and principal-only (PO) components. It also includes Treasury Floating Rate Notes
(FRNs).
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).

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.

Federal Agency and GSE Mortgage-Backed Securities

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.

• 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).

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),
GEN-4

This includes:
Residential Pass-Through Securities

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
mortgage-backed securities issued by FNMA or
FHLMC or guaranteed by GNMA. Also include
REMICs issued by the U.S. Department of Veterans
Affairs (VA).
• All classes of CMOs, REMICs, CMO and REMIC
residuals, and stripped mortgage-backed securities
issued by non-U.S. government issuers (e.g., other
depository institutions, insurance companies, state and
local housing authorities in the U.S.) for which the
collateral consists of GNMA (Ginnie Mae) passthroughs, FNMA (Fannie Mae) pass-throughs, 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.
FR 2004
General Instructions January 2015

General Instructions

Commercial Mortgage-Backed Securities

• covered bonds

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

• 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.

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

• Privately placed securities (e.g., 144a Securities)
State and Municipal Government Obligations
Includes debt securities issued by states and political
subdivisions in the U.S. including the District of Columbia. This includes their counties, municipalities, school
districts, irrigation, drainage, and sewer districts. Also
include securities issued by the government of Puerto
Rico and of the U.S. territories and possessions and their
political subdivisions. Include
• General obligations
• Revenue obligations
• Industrial development and similar obligations
Asset-Backed Securities (ABS)
Each ABS should be reported in the item that most
closely describes the predominant type of asset that
collateralizes the security and this categorization should
be used consistently over time. These may include securities backed by credit card receivables, automobile loans
and leases, home equity lines, consumer and personal
loans, commercial and industrial loans, and other assets,
as well as collateralized loan obligations (CLOs), collateralized debt obligations (CDOs), and collateralized bond
obligations (CBOs). Do not include mortgage-backed
securities (MBS). MBS should be reported in Lines
4a-4e. Do not include asset-backed commercial paper
(ABCP). ABCP should be reported on Line 5a.

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:

B. DO NOT REPORT

• bonds, notes, debentures

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

• commercial paper including ABS-backed commercial
paper

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

FR 2004
General Instructions January 2015

GEN-5

General Instructions

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.

GEN-6

D. UNDERWRITING OF SECURITIES
Report the position taken in a new issue when the
reporting entity is the underwriter or part of the underwriting syndicate. The transaction to obtain that position
(whether for the reporting entity’s own portfolio or on
behalf of a customer) should not be reported.
E. SECURITY BUYBACKS
Report the change in position when the buyback settles.
The settlement of a buyback should be excluded from the
FR 2004B (whether for the reporting entity’s own portfolio or on behalf of a customer). However, purchases of
securities by a reporting entity from a customer to
complete the buyback process should be included.
F. PRIME BROKERAGE REPORTING
Transactions conducted on behalf of a prime brokerage
customer with an executing dealer should be excluded.
Financing positions conducted on behalf of a prime
brokerage customer should be excluded on the FR 2004C,
FR 2004SI, and FR 2004SD. Trades in which the
customer’s prime broker is acting as principal or agent
should be reported as trades with ‘‘others.’’

FR 2004
General Instructions January 2015

INSTRUCTIONS FOR THE PREPARATION OF THE

Weekly Report of Dealer Positions
FR 2004A

III. REPORT INSTRUCTIONS

Line-by-Line Instructions

Accounting Rules

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’’.

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.

Line Caption and Instructions
Item 1 U.S. Treasury Securities (excluding TIPS)
Item 1a Bills.
Report in the appropriate columns outright positions in
U.S. Treasury Bills.
Item 1b Floating Rate Notes (FRNs).

Reportable Positions

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

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):

Item 1c
years.

• 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

Coupons due in less than or equal to 2

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.
Item 1d 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.

• When-issued positions

Item 1e Coupons due in more than 3 years but
less than or equal to 6 years.

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

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.

Weekly Report of Dealer Positions
FR 2004A January 2015

A-1

FR 2004A

Item 1f 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.

Item 3b Coupons.
Report in the appropriate columns outright positions in
federal agency and GSE coupon securities.
Item 4 Mortgage-Backed Securities (MBS)

Item 1g Coupons due in more than 7 years but
less than or equal to 11 years.

Item 4a Federal Agency and GSE Residential
Pass-Through MBS.

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.

Report in the appropriate columns outright positions in
federal agency and GSE residential pass- through MBS
securities. Include securities guaranteed by GNMA and
issued by FNMA and FHLMC.

Item 1h Coupons due in more than 11 years.

Item 4b All Other Federal Agency and GSE
Residential MBS.

Report in the appropriate columns outright positions in
U.S. Treasury securities (excluding TIPS) with coupons
due in more than 11 years.
Item 2 U.S. Treasury Inflation-Protected Securities
(TIPS)

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

Item 2a 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.
Item 2b 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.
Item 2c 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.
Item 2d TIPS due in more than 11 years.
Report in the appropriate columns outright positions in
TIPS due in more than 11 years.
Item 3 Federal Agency and GSE Securities
(excluding MBS)
Item 3a Discount notes.
Report in the appropriate columns outright positions in
federal agency and GSE discount notes.
A-2

Item 4c 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.
Item 4d 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.
Item 4e

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.
Weekly Report of Dealer Positions
FR 2004A January 2015

FR 2004A

Item 5 Corporate Securities.
Item 5a Commercial Paper.
Report in the appropriate columns outright positions in
dollar denominated commercial paper including unsecured and asset-backed commercial paper (ABCP) issued
by U.S. entities. Exclude commercial paper issued by
states and political subdivisions in the U.S. (report those
items in Line 6).
Item 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.
Item 5c 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.
Item 5d 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 (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
Weekly Report of Dealer Positions
FR 2004A January 2015

ratings are available, the lowest of the ratings should be
used for reporting.
Item 5e 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.
Item 5f 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
months.
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.
Item 5g 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 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
rating are available, the internal definitions may be used.
If several public ratings are available, the lowest of the
ratings should be used for reporting.
Item 5h Below Investment Grade Bonds, Notes,
and Debentures due in more than five years but in
less than or equal to ten years.
Report in the appropriate columns outright positions in
dollar denominated bonds, notes, debentures and equipment trust certificates that are rated below investment
A-3

FR 2004A

grade (BB+ or lower) and due in more than five years but
in less than or equal to ten years. Report according to the
current rating, not the rating at inception. If no public
rating are available, the internal definitions may be used.
If several public ratings are available, the lowest of the
ratings should be used for reporting.

Item 6d State and Municipal Government
Obligations due in more than ten years.

Item 5i Below Investment Grade Bonds, Notes,
and Debentures due in more than ten years.

Item 6e State and Municipal Government
Obligations Variable Rate Demand Notes (VRDNs).

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 ten years.
Report according to the current rating, not the rating at
inception. If no public rating are available, the internal
definitions may be used. If several public ratings are
available, the lowest of the ratings should be used for
reporting.

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

Item 6 State and Municipal Government
Obligations.
Item 6a 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 6e.
Item 6b 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 6e.
Item 6c 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.
A-4

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

Item 7 Asset-Backed Securities
Item 7a 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.
Item 7b Student Loan-Backed Securities.
Report in the appropriate columns outright positions in
asset-backed securities collateralized predominantly by
student loans.
Item 7c

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.
Item 7d 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.
Item 8 Total.
Report the sums of items 1 through 7.
Weekly Report of Dealer Positions
FR 2004A January 2015

FR 2004A

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

Weekly Report of Dealer Positions
FR 2004A January 2015

• The sum of the first 4 IO components in line 1c (U.S.
Treasury Coupons due in less than or equal to 2 years);
• The sum of the next 2 IO components in line 1d (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 1e (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 1f (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 (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 1h (U.S. Treasury Coupons due in
more than 11 years).

A-5

INSTRUCTIONS FOR THE PREPARATION OF THE

Weekly Report of Dealer Transactions
FR 2004B

Accounting Rules

Counterparty Categories

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.

Column 1 With Inter-Dealer Brokers

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.

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

• Treasury Inflation-Protected Securities (TIPS).

• Brokers with an asterisk next to their name are interdealer brokers. These listings are included for use as a
guide and should not be considered an exhaustive list
of all inter-dealer 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.

• 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.

• 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.

Reportable Transactions
• Outright transactions and forward transactions of fixed
principal securities.
• Outright transactions and forward transactions in Treasury Floating Rate Notes (FRNs).

• When-issued securities.
• Dollar rolls involving To Be Announced (TBA) securities, for which the underlying security does not yet
exist (e.g., forward MBS).
• Transactions executed through electronic trading platforms for the reporting dealer’s own accounts. However, do not report transactions executed to settle trades
for electronic trading platforms, where the reporter
does not take a position.
Weekly Report of Dealer Transactions
FR 2004B January 2015

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
B-1

FR 2004B

2. For further description on reportable securities see
Section II. A ‘‘What to Report - Reportable Securities’’.

Line Caption and Instructions
Item 1 U.S. Treasury Securities (excluding TIPS)
Item 1a Bills.
Report in the appropriate columns transactions in U.S.
Treasury Bills.

Item 1h 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.
Item 2 U.S. Treasury Inflation-Protected Securities
(TIPS)
Item 2a 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.

Item 1b Floating Rate Notes .
Report in the appropriate columns transactions in U.S.
Treasury floating rate notes.
Item 1c
years.

Coupons due in less than or equal to 2

Report in the appropriate columns transactions in U.S.
Treasury securities (excluding TIPS) with coupons due in
less than or equal to 2 years.
Item 1d Coupons due in more than 2 years but
less than or equal to 3 years.

Item 2b 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.
Item 2c 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.

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.

Item 2d TIPS due in more than 11 years.

Item 1e Coupons due in more than 3 years but
less than or equal to 6 years.

Item 3 Federal Agency and GSE Securities
(excluding MBS)

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.

Item 3a Discount notes.

Item 1f 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.

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

Report in the appropriate columns transactions in federal
agency and GSE discount notes.
Item 3b Coupons.
Report in the appropriate columns transactions in federal
agency and GSE coupon securities.
Item 4 Mortgage-Backed Securities

Item 1g Coupons due in more than 7 years but
less than or equal to 11 years.

Item 4a Federal Agency and GSE Residential
Pass-Through MBS Cash transactions.

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.

Report in the appropriate columns cash transactions as
well as other transactions not reported separately in Line
4b in MBS pass-through securities.

B-2

Weekly Report of Dealer Transactions
FR 2004B January 2015

FR 2004B

Item 4b 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.
Item 4c 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.
Item 4d 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.
Item 4e

Non-Agency Residential MBS.

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).
Item 5b 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.
Item 5c 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 more than 13 months but in less
than or equal to five years.

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.

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.

Item 4f Other Commercial MBS.

Item 5d 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 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.
Item 5 Corporate Securities
Item 5a Commercial Paper.
Report in the appropriate columns transactions in dollar
denominated commercial paper including unsecured and
Weekly Report of Dealer Transactions
FR 2004B January 2015

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.
B-3

FR 2004B

Item 5e Investment Grade Bonds, Notes, and
Debentures due in more than 10 years.

(BB+ or lower) that are 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 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.

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.
Item 5f 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
months.
Report according to the current ratings, not the ratings
issued at inception. If no public ratings are available, but
internal ratings are available, the internal definitions may
be used. If several public ratings are available, the lowest
of the ratings should be used for reporting.
Item 5g 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.
Item 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 transactions in dollar
denominated bonds, notes, debentures and equipment
trust certificates that are rated below investment grade
B-4

Item 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.
Item 6 State and Municipal Government
Obligations.
Item 6a 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 6e.
Item 6b 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 6e.
Item 6c 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.
Weekly Report of Dealer Transactions
FR 2004B January 2015

FR 2004B

Item 6d State and Municipal Government
Obligations due in more than 10 years.

Item 8 Total (Lines 1 through 7)

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.

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.

Item 6e 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.
Item 7 Asset-Backed Securities
Item 7a Credit Card-Backed Securities.
Report in the appropriate columns transactions in assetbacked 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.
Item 7b Student Loan-Backed Securities.
Report in the appropriate columns transactions in assetbacked securities collateralized predominantly by student
loans.
Item 7c

Automobile Loan-Backed Securities.

Maturity Classifications

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

Report in the appropriate columns transactions in assetbacked 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.

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

Item 7d Other Asset-Backed Securities.

Cancels and Corrections

Report in the appropriate columns transactions in assetbacked securities collateralized predominantly by loans
other than those listed in 7a-7c including CLOs. Do not
include MBS.

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

Weekly Report of Dealer Transactions
FR 2004B January 2015

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

B-5

FR 2004B

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

B-6

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.

Weekly Report of Dealer Transactions
FR 2004B January 2015

INSTRUCTIONS FOR THE PREPARATION OF THE

Weekly Report of Dealer Financing
and Fails
FR 2004C

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:

Report on a gross basis; do not net borrowings against
loans. (FIN 41 does not apply to this report.)
Settlement Fails - Report settlement fails from cash and
financing transactions, including aged fails, at principal
value, excluding accrued interest. Report financing transactions that fail at the amount that was to be paid or
received on the day the failed trade was to be settled.
Report on a cumulative basis (including weekends and
holidays) for the reporting period only. Failed transactions that are outstanding two days or more should be
summed each day they are outstanding during the reporting period. Also include in line 6d (Federal Agency and
GSE mortgage-backed securities fails) TBA MBS when
the settlement date is delayed beyond the contractual
settlement date.

• Federal Agency and GSE Securities (excluding MBS)

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:

• Federal Agency and GSE MBS

• $2 million for reporting period 1; and

• Corporate Debt including commercial paper

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

• U.S. Treasury Securities including TIPS, STRIPS, and
Floating Rate Notes (FRNs).

• 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.
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.
Weekly Report of Dealer Financing and Fails
FR 2004C January 2015

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
C-1

FR 2004C

has no specific maturity and can be terminated on
demand by either the borrower or the lender.
• Column 2 Term Agreements (less than 30 days). A
term agreement with an original fixed maturity of more
than one day but less than 30 days that is not a
continuing contract.
• Column 3 Term Agreements (30 days or greater). A
term agreement with an original fixed maturity of more
than 30 days that is not a continuing contract.
Item 1 Repurchase Agreements

ments, matched sale-purchase agreements, or any form of
synthetic equivalents.
Item 1e

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.

Item 1a Repurchase Agreements U.S. Treasury
Securities (excluding TIPS).

Item 1f Repurchase Agreements Asset-backed
Securities.

Report repurchase agreements where the collateral provided to the lender is U.S. Treasury bills, coupon securities, and Floating Rate Notes (FRNs) including those
with the FRBNY. Include GCF agreements, bilateral
agreements, tri-party agreements and hold-in-custody
(HIC) agreements. Include matched sale-purchase agreements, or any form of synthetic equivalents.

Report repurchase agreements where the collateral provided to the lender is dollar denominated Asset-backed
securities as defined for these formes, including those
with the FRBNY. Include GCF agreements, bilateral
repurchase agreements, tri-party agreements and HIC
agreements. Include matched sale-purchase agreements,
or any form of synthetic equivalents.

Item 1b Repurchase Agreements U.S. Treasury
Inflation-Protected Securities (TIPS).

Item 1g Repurchase Agreements Equities.

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

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.

Item 1c Repurchase Agreements Federal Agency
and GSE Securities (excluding MBS).

Item 1h Repurchase Agreements Other Collateral.

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.

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.

Item 1d 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 agreeC-2

2 Reverse Repurchase Agreements
Item 2a 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,
coupon securities, and Floating Rate Notes (FRNs),
Weekly Report of Dealer Financing and Fails
FR 2004C January 2015

FR 2004C

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.
Item 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.
Item 2c 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 salepurchase agreements, or any form of synthetic equivalents.
Item 2d 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 sale-purchase agreements, or any
form of synthetic equivalents.
Item 2e 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.
Item 2f Reverse Repurchase Agreements
Asset-backed Securities.
Report reverse repurchase agreements where the collateral provided to the borrower is dollar denominated
Weekly Report of Dealer Financing and Fails
FR 2004C January 2015

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.
Item 2g 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 sale-purchase
agreements, or any form of synthetic equivalents.
Item 2h 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.
Item 3 Other Financing Activity-Securities Lent
Item 3a 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,
coupon 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.
Item 3b 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.
C-3

FR 2004C

Item 3c 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.
Item 3d 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.
Item 3e 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.
Item 3f 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 define 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.
Item 3g Other Financing Activity-Securities Lent
U.S. Equities.
Report other securities financing activities where the
collateral provided to the lender is dollar denominated
C-4

U.S. equities, including those with the FRBNY. Include
stocks lent for cash, stocks pledged by the reporting
entity to secure a borrowing of other securities, and other
forms of collateralized financing agreements, including
cash received from a collateralized loan.
Item 3h 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.
Item 4 Other Financing Activity-SecuritiesSecurities Borrowed
Item 4a 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,
coupon 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.
Item 4b 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.
Item 4c 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.
Weekly Report of Dealer Financing and Fails
FR 2004C January 2015

FR 2004C

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.
Item 4d 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.
Item 4e 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.
Item 4f 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.
Item 4g 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.
Weekly Report of Dealer Financing and Fails
FR 2004C January 2015

Item 4h 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.
Item 5 Total.
Report the sum of items 1-4.

Aggregate Settlement Fails
Item 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.
Item 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).
Item 6b U.S. Treasury Inflation-Protected
Securities (TIPS).
Report in the appropriate columns fails to receive and
fails to deliver of U.S. Treasury TIPS.
Item 6c 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).
Item 6d Federal Agency and GSE MBS.
Report in the appropriate columns fails to receive and
fails to deliver federal agency and GSE MBS.
Item 6e

Other MBS.

Report in the appropriate columns fails to receive and
fails to deliver of non-Agency and GSE MBS.
Item 6f Corporate Securities.
Report in the appropriate columns fails to receive and
fails to deliver corporate securities.
C-5

FR 2004C

Item 7 Total.
Report the sum of Lines 6a-6f.

C-6

Weekly Report of Dealer Financing and Fails
FR 2004C January 2015

INSTRUCTIONS FOR THE PREPARATION OF THE

Weekly Report of Specific Issues
FR 2004SI

Accounting Rules

Row Definitions

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).

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:

However, transactions reported on the FR 2004SI are
reported using trade date accounting. Report on a cumulative basis. Do not net purchases and sales.

• Line # 1 - 2-year U.S. Treasury note

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).

• Line # 3 - 5-year U.S. Treasury note

• Line # 2 - 3-year U.S. Treasury note
• Line # 4 - 7-year U.S. Treasury note
• Line # 5 - 10-year U.S. Treasury note
• Line # 6 - 30-year U.S. Treasury bond
• Line # 7 - 5-year TIPS note

Reportable Securities

• Line # 8 - 10-year TIPS note

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 2-year U.S. Treasury note
that has been issued is no longer reported on the FR
2004WI and begins to be reported on the FR 2004SI as of
close of business the first Wednesday after its issuance.
This 2-year U.S. Treasury note will continue to be
reported on the FR 2004SI until a 2-year U.S. Treasury
note is newly issued or re-opened by the U.S. Treasury.

• Line # 9 - 30-year TIPS bond

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

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

Weekly Report of Specific Issues
FR 2004SI January 2015

• 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

SI-1

FR 2004SI

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.

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

Column 4 Net Settled Positions

• Columns 9 through 12 Securities Out

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.

Report contractual arrangements or the pledge of securities to be delivered to counterparties. Report the following on the FR 2004SI.

Columns 5 through 12 Gross Financing

• 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.

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).
SI-2

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

• Securities pledged, which are securities that were
pledged by the reporting entity to secure a borrowing
Weekly Report of Specific Issues
FR 2004SI January 2015

FR 2004SI

of securities. Report the fair (market) value of the
securities.
• Collateralized loans, which are the reporting entity’s
cash borrowings that have been secured by securities.
Report the cash received from a loan.
• Collateral delivered to counterparties (e.g., a clearing
corporation) as a result of a margin payment, margin
call or other type of similar collateral deposit, or
collateral sent for another financial contract (e.g.,
derivatives).
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 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

Columns 7, 8, 11 and 12 General Transactions
Report as ‘‘general transactions,’’ transactions where the
parties agree to borrow/lend any member of a class of
securities (such as ‘‘a Treasury issue’’ or ‘‘a Treasury
issue no longer than 10 years to maturity’’), where the
specific collateral in the transaction to be delivered
pursuant to the agreement is identified after the class and
rate are negotiated. Tri-party and GCF repos are ‘‘general
transactions’’ as is a deliver versus payment repo where
the collateral is identified after the rate, term, and class
are agreed upon. In ‘‘general transactions’’ the lender of
collateral has some latitude in its choice of collateral
delivered.

• 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

Columns 5, 7, 9, 11 Overnight/Continuing

Line-by-Line Instructions

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.

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.

Columns 6, 8, 10, 12 Term

Item 1 2-year U.S. Treasury note.

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.

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.

Weekly Report of Specific Issues
FR 2004SI January 2015

Line Caption and Instructions

SI-3

FR 2004SI

Item 2 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.
Item 3 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.
Item 4 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.
Item 5 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.
Item 6 30-year U.S. Treasury bond.
Report in the appropriate columns security information,
cumulative outright transactions, net settled position,

SI-4

gross financing, fails data, and the FRBNY security ID
for the on-the-run 30-year U.S. Treasury bond.
Item 7 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.
Item 8 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.
Item 9 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.
Item 10 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 the on-the-run Treasury FRNs.
Total
Report the sums of items 1 through 10.

Weekly Report of Specific Issues
FR 2004SI January 2015

INSTRUCTIONS FOR THE PREPARATION OF THE

Daily Report of Specific Issues
FR 2004SD

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:

Daily Report of Specific Issues
FR 2004SD March 2013

http://www.newyorkfed.org/markets/
primarydealers.html
The FR 2004SD data and the FR 2004SI data should be
transmitted separately via the
Reporting Central system. The FR 2004SD data should
be reported based on the data definitions and accounting
rules that apply to the FR 2004SI.

Column 1 Security and Rate
Provide information for each requested security based on
the information in the announcement of a FR 2004SD
report and on the FR 2004SD Guide Sheet. Identify
securities by coupon and maturity date in yyyymmdd
format.

Supplemental Information
The FR 2004SD report form also contains fields for the
collection of additional information deemed to be critical
and needed in an expedited manner from primary dealers.
The items of information included on the supplement may change as needed. Once these data are
requested, specific details and reporting guidelines can be
obtained from: http://www.newyorkfed.org/markets/
primarydealers.html. These data are reported daily on
demand basis until notification is received from the
FRBNY to cease daily reporting.

SD-1

INSTRUCTIONS FOR THE PREPARATION OF THE

Daily Report of Dealer Activity in
Treasury Financing
FR 2004WI

Accounting Rules

Column 1 Security

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.

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.

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 whenissued 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.
Daily Report of Dealer Activity in Treasury Financing
FR 2004WI January 2015

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
WI-1

FR 2004WI

net by security, therefore, a negative value can be
reported in column 3 (net forward financing commitments) of the FR 2004WI.

ties received from bids placed on behalf of a customer by
a reporting entity).

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).

Line-by-Line Instructions

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 (securi-

WI-2

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.

Caption and Instructions
Item 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.

Daily Report of Dealer Activity in Treasury Financing
FR 2004WI January 2015

INSTRUCTIONS FOR THE PREPARATION OF THE

Settlement Cycle Report of Dealer Fails and
Transaction Volumes Class A
FR 2004FA

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-andDocumentation/Securitized-Products/SecuritizedProducts_MBS-Notification-and-Settlement-Dates/

Item 1a. Report fails to receive and fails to deliver
in the appropriate columns for coupons lower than
2.5%.
Item 1b Report fails to receive and fails to deliver
in the appropriate columns for 2.5%. coupons.
Item 1c Report fails to receive and fails to deliver
in the appropriate columns for 3.0% coupons.
Item 1d Report fails to receive and fails to deliver
in the appropriate columns for 3.5% coupons.
Item 1e Report fails to receive and fails to deliver
in the appropriate columns for 4.0% coupons.
Item 1f Report fails to receive and fails to deliver
in the appropriate columns for 4.5% coupons.
Item 1g Report fails to receive and fails to deliver
in the appropriate columns for 5.0% coupons.
Item 1h Report fails to receive and fails to deliver
in the appropriate columns for 5.5% coupons.

No Activity

Item 1i Report fails to receive and fails to deliver
in the appropriate columns for 6.0% coupons.

If a reporting entity does not have any MBS TBA
activity, a report must be submitted reflecting zero data.

Item 1j Report fails to receive and fails to deliver
in the appropriate columns for coupons greater
than 6.0%.
Item 2 Total.

FR 2004 FA-Class A Settlement Fails
Line-by-Line Instructions
Settlement Fails

Report the total of rows 1a-1j.

Report outstanding settlement fails at close of business
on the Class A settlement date for 30-year 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.

Report cumulative MBS TBA and Pool Transactions
(Outrights and Dollar Rolls) 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. Include coupon and/or agency
swaps as outright transactions. For each item, report
FNMA outright transactions in column 1 and FNMA

Settlement Cycle Report of Dealer Fails and Transaction Volumes
FR 2004FA January 2015

Transaction Volumes

FA-1

FR 2004FA

dollar rolls in columns 2. Report FHLMC outright transactions in column 3 and FHLMC dollar rolls in column 4.

Item 3a Report cumulative MBS TBA and Pool
Transactions in the appropriate columns for
coupons lower than 2.5%.
Item 3b Report cumulative MBS TBA and Pool
Transactions in the appropriate columns for 2.5%
coupons.
Item 3c Report cumulative MBS TBA and Pool
Transactions in the appropriate columns for 3.0%
coupons.
Item 3d Report cumulative MBS TBA and Pool
Transactions in the appropriate columns for 3.5%
coupons.
Item 3e Report cumulative MBS TBA and Pool
Transactions in the appropriate columns for 4.0%
coupons.

FA-2

Item 3f Report cumulative MBS TBA and Pool
Transactions in the appropriate columns for 4.5%
coupons.
Item 3g Report cumulative MBS TBA and Pool
Transactions in the appropriate columns for 5.0%
coupons.
Item 3h Report cumulative MBS TBA and Pool
Transactions in the appropriate columns for 5.5%
coupons.
Item 3i Report cumulative MBS TBA and Pool
Transactions in the appropriate columns for 6.0%
coupons.
Item 3j Report cumulative MBS TBA and Pool
Transactions in the appropriate columns coupons
greater than 6.0%
Item 4 Total.
Report the totals of rows 3a-3j.

Settlement Cycle Report of Dealer Fails and Transaction Volumes
FR 2004FA January 2015

INSTRUCTIONS FOR THE PREPARATION OF THE

Settlement Cycle Report of Dealer Fails and
Transaction Volumes Class B
FR 2004FB

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-andDocumentation/Securitized-Products/SecuritizedProducts_MBS-Notification-and-Settlement-Dates/

No Activity

Item 1a. Report fails to receive and fails to deliver
in the appropriate columns for coupons lower than
2.0%.
Item 1b Report fails to receive and fails to deliver
in the appropriate columns for 2.0% coupons.
Item 1c Report fails to receive and fails to deliver
in the appropriate columns for 2.5% coupons.
Item 1d Report fails to receive and fails to deliver
in the appropriate columns for 3.0% coupons.
Item 1e Report fails to receive and fails to deliver
in the appropriate columns for 3.5% coupons.
Item 1f Report fails to receive and fails to deliver
in the appropriate columns for 4.0% coupons.
Item 1g Report fails to receive and fails to deliver
in the appropriate columns for 4.5% coupons.
Item 1h Report fails to receive and fails to deliver
in the appropriate columns for 5.0% coupons.
Item 1i Report fails to receive and fails to deliver
in the appropriate columns for 5.5% coupons.

If a reporting entity does not have any MBS TBA
activity, a report must be submitted reflecting zero data.

Item 1j Report fails to receive and fails to deliver
in the appropriate columns for coupons greater
than 5.5%.

FR 2004 FB-Class B Settlement Fails

Item 2 Total. Report the total of rows 1a-1j.

Line-by-Line Instructions
Settlement Fails
Report outstanding settlement fails at close of business
on the Class B settlement date for 15-year 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.
Settlement Cycle Reprot of Dealer Fails and Transaction Volumes
FR 2004FB January 2015

Transaction Volumes
Report cumulative MBS TBA and Pool Transactions
(Outrights and Dollar Rolls) 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. Include coupon and/or agency
swaps as outright transactions. 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.
FB-1

FR 2004FB

Item 3a Report cumulative MBS TBA and Pool
Transactions in the appropriate columns for
coupons lower than 2.0%.

Item 3g Report cumulative MBS TBA and Pool
Transactions in the appropriate columns for 4.5%
coupons.

Item 3b Report cumulative MBS TBA and Pool
Transactions in the appropriate columns for 2.0%
coupons.

Item 3h Report cumulative MBS TBA and Pool
Transactions in the appropriate columns for 5.0%
coupons.

Item 3c Report cumulative MBS TBA and Pool
Transactions in the appropriate columns for 2.5%
coupons.

Item 3i Report cumulative MBS TBA and Pool
Transactions in the appropriate columns for 5.5%
coupons.

Item 3d Report cumulative MBS TBA and Pool
Transactions in the appropriate columns for 3.0%
coupons.

Item 3j Report cumulative MBS TBA and Pool
Transactions in the appropriate columns coupons
greater than 5.5%.

Item 3e Report cumulative MBS TBA and Pool
Transactions in the appropriate columns for 3.5%
coupons.

Item 4 Total.
Report the totals of rows 3a-3j.

Item 3f Report cumulative MBS TBA and Pool
Transactions in the appropriate columns for 4.0%
coupons.

FB-2

Settlement Cycle Reprot of Dealer Fails and Transaction Volumes
FR 2004FB January 2015

INSTRUCTIONS FOR THE PREPARATION OF THE

Settlement Cycle Report of Dealer Fails and
Transaction Volumes Class C
FR 2004FC

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-andDocumentation/Securitized-Products/SecuritizedProducts_MBS-Notification-and-Settlement-Dates/

Item 1c Report fails to receive and fails to deliver in
the appropriate columns for 3.0% coupons.
Item 1d Report fails to receive and fails to deliver in
the appropriate columns for 3.5% coupons.
Item 1e Report fails to receive and fails to deliver in
the appropriate columns for 4.0% coupons.
Item 1f Report fails to receive and fails to deliver in
the appropriate columns for 4.5% coupons.
Item 1g Report fails to receive and fails to deliver in
the appropriate columns for 5.0% coupons.
Item 1h Report fails to receive and fails to deliver in
the appropriate columns for 5.5% coupons.
Item 1i Report fails to receive and fails to deliver in
the appropriate columns for 6.0% coupons.
Item 1j Report fails to receive and fails to deliver in
the appropriate columns for coupons greater than
6.0%.

No Activity
If a reporting entity does not have any MBS TBA
activity, a report must be submitted reflecting zero data.
FR 2004 FC-Class C Settlement Fails
Line-by-Line Instructions
Settlement Fails
Report outstanding settlement fails at close of business
on the Class C settlement date for 30-year GNMA
(GNSF or G2SF) coupons listed below. For each item,
report GNMA fails to receive in column 1 and GNMA
fails to deliver in column 2.
Item 1a. Report fails to receive and fails to deliver in
the appropriate columns for coupons lower than
2.5%.
Item 1b Report fails to receive and fails to deliver in
the appropriate columns for 2.5% coupons.
Settlement Cycle Report of Dealer Fails and Transaction Volumes
FR 2004FC January 2015

Item 2 Total.
Report the total of rows 1a-1j.
Transaction Volumes
Report cumulative MBS TBA and Pool Transactions
(Outrights and Dollar Rolls) with external counterparties
for Class C settlement in the reporting month for 30-year
GNMA for coupons listed below. Do not net buys and
sells. Include coupon and/or agency swaps as outright
transactions. For each item, report GNMA outright transactions in column 1 and GNMA dollar rolls in columns 2.
Item 3a Report cumulative MBS TBA and Pool
Transactions in the appropriate columns for coupons
lower than 2.5%.
Item 3b Report cumulative MBS TBA and Pool
Transactions in the appropriate columns for 2.5%
coupons.
FC-1

FR 2004FC

Item 3c Report cumulative MBS TBA and Pool
Transactions in the appropriate columns for 3.0%
coupons.
Item 3d Report cumulative MBS TBA and Pool
Transactions in the appropriate columns for 3.5%
coupons.
Item 3e Report cumulative MBS TBA and Pool
Transactions in the appropriate columns for 4.0%
coupons.
Item 3f Report cumulative MBS TBA and Pool
Transactions in the appropriate columns for 4.5%coupons.
Item 3g Report cumulative MBS TBA and Pool

FC-2

Transactions in the appropriate columns for 5.0%
coupons.
Item 3h Report cumulative MBS TBA and Pool
Transactions in the appropriate columns for 5.5%
coupons.
Item 3i Report cumulative MBS TBA and Pool
Transactions in the appropriate columns for 6.0%
coupons.
Item 3j Report cumulative MBS TBA and Pool
Transactions in the appropriate columns coupons
greater than 6.0%.
Item 4 Total.
Report the totals of rows 3a-3j.

Settlement Cycle Report of Dealer Fails and Transaction Volumes
FR 2004FC January 2015

INSTRUCTIONS FOR THE PREPARATION OF THE

Settlement Cycle Report of Dealer Fails and
Transaction Volumes Class A, B, and C
FR 2004FM

Accounting Rules

30 Year MBS

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.

Item 1a. Report fails to receive and fails to deliver
in the appropriate columns for coupons lower than
2.5%.

The settlement calendar for MBS can be located here:
http://www.sifma.org/Services/Standard-Forms-andDocumentation/Securitized-Products/SecuritizedProducts_MBS-Notification-and-Settlement-Dates/

Item 1f Report fails to receive and fails to deliver
in the appropriate columns for 4.5% coupons.

Item 1b Report fails to receive and fails to deliver
in the appropriate columns for 2.5% coupons.
Item 1c Report fails to receive and fails to deliver
in the appropriate columns for 3.0% coupons.
Item 1d Report fails to receive and fails to deliver
in the appropriate columns for 3.5% coupons.
Item 1e Report fails to receive and fails to deliver
in the appropriate columns for 4.0% coupons.

Item 1g Report fails to receive and fails to deliver
in the appropriate columns for 5.0% coupons.

No Activity

Item 1h Report fails to receive and fails to deliver
in the appropriate columns for 5.5% coupons.

If a reporting entity does not have any MBS TBA
activity, a report must be submitted reflecting zero data.

Item 1i Report fails to receive and fails to deliver
in the appropriate columns for 6.0% coupons.

FR 2004 FM-Class A, B, and C Settlement Fails
Line-by-Line Instructions
Class A and C Settlement Fails
Report outstanding settlement fails at close of business
on the last business date of the month for 30-year FNMA
(FNCL), 30-year FHLMC (FGLMC), and 30-year GNMA
(GNSF or G2SF) for coupons listed below. For each
item, report 30-year FNMA fails to receive in column 1
and 30-year FNMA fails to deliver in column 2. Report
30-year FHLMC fails to receive in column 3 and 30-year
FHLMC fails to deliver in column 4. Report 30-year
GNMA fails to receive in column 5 and 30-year GNMA
fails to deliver in column 6.
Settlement Cycle Report of Dealer Fails and Transaction Volumes
FR 2004FM January 2015

Item 1j Report fails to receive and fails to deliver
in the appropriate columns for coupons greater
than 6.0%.
Item 2 Total.
Report the total of rows 1a-1j.
Transaction Volumes
Report cumulative MBS TBA and Pool Transactions
(Outrights and Dollar Rolls) with external counterparties
for Class A and Class C settlement in the reporting month
for 30-year FNMA, 30-year FHLMC and 30-year GNMA
for coupons listed below. Do not net buys and sells.
Include coupon and/or agency swaps as outright
FM-1

FR 2004FM

transactions. 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. Report GNMA outright
transactions in column 5 and GNMA dollar rolls in
column 6.

below. For each item, report 15-year FNMA fails to
receive in column 1 and 15-year FNMA fails to deliver in
column 2. Report 15-year FHLMC fails to receive in
column 3 and 15-year FHLMC fails to deliver in column
4.
Item 15 Year MBS

Item 3a Report cumulative MBS TBA and Pool
Transactions in the appropriate columns for
coupons lower than 2.5%.
Item 3b Report cumulative MBS TBA and Pool
Transactions in the appropriate columns for 2.5%
coupons.
Item 3c Report cumulative MBS TBA and Pool
Transactions in the appropriate columns for 3.0%
coupons.
Item 3d Report cumulative MBS TBA and Pool
Transactions in the appropriate columns for 3.5%
coupons.
Item 3e Report cumulative MBS TBA and Pool
Transactions in the appropriate columns for 4.0%
coupons.
Item 3f Report cumulative MBS TBA and Pool
Transactions in the appropriate columns for 4.5%
coupons.
Item 3g Report cumulative MBS TBA and Pool
Transactions in the appropriate columns for 5.0%
coupons.
Item 3h Report cumulative MBS TBA and Pool
Transactions in the appropriate columns for 5.5%
coupons.

Item 5a. Report fails to receive and fails to deliver
in the appropriate columns for coupons lower than
2.0%.
Item 5b Report fails to receive and fails to deliver
in the appropriate columns for 2.0% coupons.
Item 5c Report fails to receive and fails to deliver
in the appropriate columns for 2.5% coupons.
Item 5d Report fails to receive and fails to deliver
in the appropriate columns for 3.0% coupons.
Item 5e Report fails to receive and fails to deliver
in the appropriate columns for 3.5% coupons.
Item 5f Report fails to receive and fails to deliver
in the appropriate columns for 4.0% coupons.
Item 5g Report fails to receive and fails to deliver
in the appropriate columns for 4.5% coupons.
Item 5h Report fails to receive and fails to deliver
in the appropriate columns for 5.0% coupons.
Item 5i Report fails to receive and fails to deliver
in the appropriate columns for 5.5% coupons.
Item 5j Report fails to receive and fails to deliver
in the appropriate columns for coupons greater
than 5.5%.

Item 3i Report cumulative MBS TBA and Pool
Transactions in the appropriate columns for 6.0%
coupons.

Item 6 Total.

Item 3j Report cumulative MBS TBA and Pool
Transactions in the appropriate columns coupons
greater than 6.0%.

Transaction Volumes

Item 4 Total.
Report the totals of rows 3a-3j.
Class B Settlement Fails
Report outstanding settlement fails at close of business
on the last business date of the month for 15-year FNMA
(FNCI) and 15-year FHLMC (FGCI) for coupons listed
FM-2

Report the total of rows 5a-5j.

Report cumulative MBS TBA and Pool Transactions
(Outrights and Dollar Rolls) 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. Include coupon and/or agency
swaps as outright transactions. 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.
Settlement Cycle Report of Dealer Fails and Transaction Volumes
FR 2004FM January 2015

FR 2004FM

Item 7a Report cumulative MBS TBA and Pool
Transactions in the appropriate columns for
coupons lower than 2.0%.

Item 7g Report cumulative MBS TBA and Pool
Transactions in the appropriate columns for 4.5%
coupons.

Item 7b Report cumulative MBS TBA and Pool
Transactions in the appropriate columns for 2.0%
coupons.

Item 7h Report cumulative MBS TBA and Pool
Transactions in the appropriate columns for 5.0%
coupons.

Item 7c Report cumulative MBS TBA and Pool
Transactions in the appropriate columns for 2.5%
coupons.

Item 7i Report cumulative MBS TBA and Pool
Transactions in the appropriate columns for 5.5%
coupons.

Item 7d Report cumulative MBS TBA and Pool
Transactions in the appropriate columns for 3.0%
coupons.

Item 7j Report cumulative MBS TBA and Pool
Transactions in the appropriate columns coupons
greater than 5.5%.

Item 7e Report cumulative MBS TBA and Pool
Transactions in the appropriate columns for 3.5%
coupons.

Item 8 Total.
Report the totals of rows 7a-7j.

Item 7f Report cumulative MBS TBA and Pool
Transactions in the appropriate columns for 4.0%
coupons.

Settlement Cycle Report of Dealer Fails and Transaction Volumes
FR 2004FM January 2015

FM-3

Appendix A
Comparisons Between and Within Reports
There are general comparisons among the FR 2004 reports. However, if your data does not correspond with the
comparisons, there may be acceptable explanations for the differences.
FR 2004A vs. FR 2004B
Changes in positions (between two weeks) reported on the FR 2004A and should be less than the level of transactions
reported on the current week FR 2004B. or control of a bank.
FR 2004A vs. FR 2004SI and FR 2004WI
Positions reported on the FR 2004A should be greater than or equal to the sum of net settled positions reported on the
FR 2004SI and FR 2004WI.
FR 2004B vs. FR 2004SI and FR 2004WI
Transactions reported on the FR 2004B should be greater than or equal to the sum of cumulative outright transactions
reported on the FR 2004SI and FR 2004WI.
FR 2004C vs. FR 2004SI
U.S. Treasury financing and fails data reported on the FR 2004C should be greater than or equal to U.S. Treasury
financing and fails data reported on the FR 2004SI.
FR 2004SI (comparisons of column 4, columns 5 through 12, and columns 13 and 14)
The net settled position reported in column 4 should be equal to the net financing and fails data reported in columns 5
through 14.
The difference between uses of financing (columns 5 through 8) and sources of financing (columns 9 through 12) should
be equal to the difference between the net settled position (column 4) and net fails data (columns 13 and 14).
FR 2004SD (comparisons of column 4, columns 5 through 12, and columns 13 and 14)
The net settled position reported in column 4 should be equal to the net financing and fails data reported in columns 5
through 14.
The difference between uses of financing (columns 5 through 8) and sources of financing (columns 9 through 12) should
be equal to the difference between the net settled position (column 4) and net fails data (columns 13 and 14).
FR 2004SD vs. FR 2004SI
When the same security is reported on the FR 2004SD and the FR 2004SI, the position, financing, and fails data
submitted as-of Wednesday for the FR 2004SD should match the position, financing, and fails data submitted for that
same Wednesday on the FR 2004SI for that specific security.
When the same security is reported on the FR 2004SD and the FR 2004SI, the transaction data submitted as-of
Wednesday for the FR 2004SD should be less than or equal to the transaction data submitted for that same Wednesday
on the FR 2004SI for that specific security.
FR 2004WI (comparison of column 2 and columns 4 and 5)
Net outright positions should reconcile between daily report dates. Current net outright positions should equal the prior
day’s net outright position plus the current day’s net outright transactions.
On the auction date, the current net outright position should equal the prior day’s net outright position plus the current
day’s net outright transactions plus the allotment received from the U.S. Treasury auction.
FR 2004SI vs. FR 2004WI
When the same security is reported on the FR 2004SI as-of Wednesday and the FR 2004WI for the full report week
(Thursday to Wednesday), the sum of the FR 2004WI transaction data for the full report week should be greater than or
equal to the FR 2004SI transaction data for the as-of Wednesday.
FR 2004
Appendix A

January 2015

App-A-1

Appendix B
Reporting Differences Between and Within the FR 2004 Reports
Allotments
Include new security allotment positions on the FR 2004A, and exclude the transaction to obtain that position from the
FR 2004B.
Underwriting of Securities
Include new corporate issue positions on the FR 2004A when the primary dealer is the underwriter or part of the
underwriting syndicate, and exclude the transaction to obtain that position from the FR 2004B.
Buybacks
Position reductions due to buyback operations are reflected on the FR 2004A, while the transaction to reduce that
position is excluded from the FR 2004B. Please note that a purchase of securities by a primary dealer from a customer to
complete the buyback process is included on the FR 2004B.
Dollar Rolls Involving To be Announced (TBA) Securities, for which the Underlying Security Does Not Yet
Exist (e.g., Forward MBS)
Include positions and transactions on the FR 2004A and FR 2004B, respectively, and exclude from the FR 2004C.
Dollar Rolls Where a Specific MBS is Used as Collateral
Include on the FR 2004C, and exclude from the FR 2004A and FR 2004B.
Position Accounting Rules
• Report positions on the FR 2004A using trade date accounting, except for buybacks, which should be reported using
settlement date accounting.
• Report positions, except buybacks, on the FR 2004A and FR 2004WI using trade date accounting while positions are
reported on the FR 2004SI and FR 2004SD using settlement date accounting.
• Report positions on the FR 2004A at fair value, while positions are reported on the FR 2004SI, FR 2004SD, and
FR 2004WI at the original issuance par amount.
Valuing Transactions
Report transactions on the FR 2004B at principal value, while transactions are reported on the FR 2004SI and the
FR 2004SD at the original issuance par amount.
Financing Accounting Rules
Report financing data on the FR 2004C using settlement date accounting for the actual funds paid or received, while
financing data on the FR 2004SI and the FR 2004SD and forward financing commitments on the FR 2004WI are
reported using trade date accounting at the original issuance par amount of the collateral.
Failed Transactions Accounting Rules
• Report failed transactions on the FR 2004C at principal value, excluding accrued interest, while failed transactions are
reported on the FR 2004SI and the FR 2004SD at the original issuance par amount of the security.
• Report failed financing transactions on the FR 2004C as the amount that was to be paid or received on the day the
failed trade was to be settled, while failed financing transactions are reported on the FR 2004SI and the FR 2004SD at
the original issuance par amount of the collateral.
• Report fails on a cumulative basis on the FR 2004C, while fails are not reported on a cumulative basis on the
FR 2004SI and the FR 2004SD.
Forwards
Include forward positions and forward transactions on the FR 2004A and the FR 2004B, respectively, and exclude from
the FR 2004SI and FR 2004SD.
FR 2004
Appendix B

January 2015

App-B-1

Appendix C
GLOSSARY
Affiliate - Company under the control of the direct parent of the primary dealer.
Aged fail - A failure to receive or to deliver a security that has been outstanding for five business days or more.
Allotment - The amount of a security issue that subscribers are assigned based on their bids for those securities.
Call date - A date before maturity, specified at issuance, when the issuer may retire part of the security for a specified
price.
Coupon passes - Transactions initiated by the FRBNY with primary dealers involving U.S. Treasury securities that add
or withdraw reserves.
Derivative - Financial instrument whose value depends on, or is derived from, the prices, or level of indexes or
underlying assets, such as interest rates, foreign exchange rates, equities, or commodities. They represent an agreement
between two or more counterparties on the price or level of the asset or index for exchange or settlement at a later
specified date.
Dollar roll - A transaction in which an institution sells a security for immediate delivery (usually a mortgage-backed
pass-through security) and agrees to repurchase a substantially identical security (but not the same) on a future date at a
specified price.
Fail - On the settlement date, either the seller does not deliver the security as agreed or the buyer does not deliver funds
(and therefore does not receive the security) as agreed.
Federal agency - An agency or corporation that has been chartered, authorized, or organized as a result of federal
legislation.
Forward contract - A contract in which two parties agree to the purchase and sale of an asset at some future date. Forward
contracts are not standardized and are not traded on organized exchanges.
Government sponsored enterprise (GSE) - Privately owned, publicly chartered entities created by Congress to reduce the
cost of capital for certain borrowers, including farmers, homeowners, and students.
Reverse repurchase agreement (resale agreement) - A transaction involving the purchase of financial assets by one party
from another, subject to an agreement by the purchaser to resell the assets at a specified date or in specified
circumstances.
Reverse Inquiry - A transaction where an investor or dealer determines the amount and type of bonds they wish to buy
and approach the issuer to buy debt securities with particular features at a particular price. If the issuer agrees, the bonds
are issued the same day. Reverse inquiries are very common in the agency debt market.
Settlement date - The contractually agreed upon date on which a security is to be delivered to the purchaser and payment
is to be made to the seller.
Subsidiary - An entity in which the primary dealer, directly or indirectly, owns more than 50 percent of the outstanding
voting stock.

FR 2004
Glossary January 2015

GL-1