FR 2004C Weekly Report of Dealer Financing and Fails

FR 2004A
OMB Number 7100-0003
Approval expires June 30, 2024
Page 1 of 2

Board of Governors of the Federal Reserve System

Weekly Report of Dealer Positions—FR 2004A

As of close of trading on Wednesday,
Month / Day / Year

The FR 2004 reports are authorized by law (12 U.S.C. §§ 225a,
263c, 353-359, and 391). These reports are required to obtain the
benefit of primary dealer status.
Individual primary dealer data are regarded as confidential under
the Freedom of Information Act and are treated as such by the
Federal Reserve System. Individual primary dealer 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on the FR 2004 reports will not be published or otherwise publicly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 primary dealer. If it should be determined
subsequently that any information collected on these reports must
be released, primary dealers will be notified. The Federal Reserve
may not conduct or sponsor, and an organization is not required
to respond to, a collection of information unless it displays a currently valid OMB control number.
Outright Positions
Long
1

Dollar Amounts in Millions at Market Value
1. U.S. Treasury securities (excluding TIPS)
a. Bills ............................................................................................
b. Floating-rate notes (FRNs) ..............................................................
c. Coupons due in less than or equal to 2 years ......................................
d. Coupons due in more than 2 years but less than or equal to 3 years ........
e. Coupons due in more than 3 years but less than or equal to 6 years ........
f. Coupons due in more than 6 years but less than or equal to 7 years ........
g. Coupons due in more than 7 years but less than or equal to 11 years.......
h. Coupons due in more than 11 years but less than or equal to 21 years .....
i. Coupons due in more than 21 years ..................................................
2. U.S. Treasury Inflation‐Protected Securities (TIPS)
a. TIPS due in less than or equal to 2 years ............................................
b. TIPS due in more than 2 years but less than or equal to 6 years..............
c. TIPS due in more than 6 years but less than or equal to 11 years ............
d. TIPS due in more than 11 years........................................................
3. Federal Agency and GSE Securities (excluding MBS)
a. Discount notes ..............................................................................
b. Coupons ......................................................................................
4. Mortgage‐backed Securities
Federal Agency and GSE MBS
Federal Agency and GSE Residential Pass‐through MBS
a. TBAs...........................................................................................
b. Specified Pools .............................................................................
c. All Other Federal Agency and GSE Residential MBS ............................
d. Federal Agency and GSE CMBS ......................................................
Non‐Agency MBS
e. Non‐Agency Residential MBS...........................................................
f. Other CMBS .................................................................................

GSWA

Amount

Short
2
GSWA

Amount

M438
N749
M440
M442
M444
M446
M448
LF56

M439
N756
M441
M443
M445
M447
M449
LF57

LF58

LF59

1.a.
1.b.
1.c.
1.d.
1.e.
1.f.
1.g.
1.h.
1.i.

M452
M454
M456
M458

M453
M455
M457
M459

2.a.
2.b.
2.c.
2.d.

M460
M462

M461
M463

3.a.
3.b.

MF98
MG00
M466
M468

MF96
MF99
M467
M469

4.a.
4.b.
4.c.
4.d.

M470
M472

M471
M473

4.e.
4.f.

Public reporting burden for this information collection is estimated to average 3 hours per response, including time to gather and maintain data in the required form and to review instructions
and complete the information collection. Comments regarding this burden estimate or any other aspect of this information collection, including suggestions for reducing the burden, may be
sent to Secretary, Board of Governors of the Federal Reserve System, 20th and C Streets, NW, Washington, DC 20551, and to the Office of Management and Budget, Paperwork Reduction
Project (7100-0003), Washington, DC 20503.

01/2022

FR 2004A
Page 2 of 2

Weekly Report of Dealer Positions—Continued
Outright Positions
Long
1

Dollar Amounts in Millions at Market Value
5. Corporate Securities
a. Commercial paper .........................................................................
Investment grade bonds, notes, and debentures
b. Due in less than or equal to 13 months...............................................
c. Due in more than 13 months but less than or equal to 5 years.................
d. Due in more than 5 years but less than or equal to 10 years ...................
e. Due in more than 10 years...............................................................
Below investment grade bonds, notes, and debentures
f. Due in less than or equal to 13 months...............................................
g. Due in more that 13 months but less than or equal to 5 years .................
h. Due in more than 5 years but less than or equal to 10 years ...................
i. Due in more than 10 years...............................................................
6. State and Municipal Government Obligations
a. Due in less than or equal to 13 months...............................................
b. Due in more than 13 months but less than or equal to 5 years.................
c. Due in more than 5 years but less than or equal to 10 years ...................
d. Due in more than 10 years...............................................................
e. Variable-rate demand notes .............................................................
7. Asset‐backed Securities
a. Credit card‐backed securities ...........................................................
b. Student loan‐backed securities .........................................................
c. Automobile loan‐backed securities ....................................................
d. Other asset‐backed securities ..........................................................
8. Total (lines 1 through 7).......................................................................

Return by 4:00 p.m. the following business day to:
Statistics Function
Federal Reserve Bank of New York
33 Liberty Street
New York, NY 10045
FAX: (212) 720-5030 or (646) 720-5030

GSWA

Amount

Short
2
GSWA

Amount

M474

M475

5.a.

M476
N757
R784
R786

M477
R783
R785
R787

5.b.
5.c.
5.d.
5.e.

R788
R790
R792
R794

R789
R791
R793
R795

5.f.
5.g.
5.h.
5.i.

M482
R796
R798
R800
M486

M483
R797
R799
R801
M487

6.a.
6.b.
6.c.
6.d.
6.e.

M488
M490
M492
M494
M496

M489
M491
M493
M495
M497

7.a.
7.b.
7.c.
7.d.
8.

Person to whom questions about this report should be directed:

Name of Preparer

Area Code / Phone Number

Dealer Name

Comments:

“To the best of my knowledge, the report has been prepared in conformity with the instructions issued by the Federal Reserve Bank of
New York and is accurate. I am responsible for the internal controls over the reporting of the data in this report and believe that these
controls are effective. These internal controls are (1) designed to ensure the accuracy of this data, (2) monitored and reviewed by audit
or compliance staff, and (3) assessed regularly by management of the named institution. I agree to report any material deficiencies in
these internal controls and any inaccuracies in data already reported to the Federal Reserve Bank of New York.”
Note: Dealers are only required to submit a copy of this attestation with the last as-of date of each year.

Name

Title

Signature

Date (MM/DD/YYYY)

01/2022

FR 2004B
OMB Number 7100-0003
Approval expires June 30, 2024
Page 1 of 2

Board of Governors of the Federal Reserve System

Weekly Report of Cumulative Dealer Transactions—FR 2004B

As of close of trading on Wednesday,
Month / Day / Year

The FR 2004 reports are authorized by law (12 U.S.C. §§ 225a,
263c, 353-359, and 391). These reports are required to obtain the
benefit of primary dealer status.
Individual primary dealer data are regarded as confidential under
the Freedom of Information Act and are treated as such by the
Federal Reserve System. Individual primary dealer 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 primary dealer. If it should be determined
subsequently that any information collected on these reports must
be released, primary dealers will be notified. The Federal Reserve
may not conduct or sponsor, and an organization is not required
to respond to, a collection of information unless it displays a currently valid OMB control number.
Cumulative Outright Transactions
With Inter-dealer
Brokers
1

1.

2.

3.

4.

Dollar Amounts in Millions at Principal Value
U.S. Treasury securities (excluding TIPS)
a. Bills ............................................................................................
b. Floating-rate notes (FRNs) ..............................................................
c. Coupons due in less than or equal to 2 years ......................................
d. Coupons due in more than 2 years but less than or equal to 3 years ........
e. Coupons due in more than 3 years but less than or equal to 6 years ........
f. Coupons due in more than 6 years but less than or equal to 7 years ........
g. Coupons due in more than 7 years but less than or equal to 11 years.......
h. Coupons due in more than 11 years but less than or equal to 21 years .....
i. Coupons due in more than 21 years ..................................................
U.S. Treasury Inflation‐Protected Securities (TIPS)
a. TIPS due in less than or equal to 2 years ............................................
b. TIPS due in more than 2 years but less than or equal to 6 years..............
c. TIPS due in more than 6 years but less than or equal to 11 years ............
d. TIPS due in more than 11 years........................................................
Federal Agency and GSE Securities (excluding MBS)
a. Discount notes ..............................................................................
b. Coupons ......................................................................................
Mortgage‐backed Securities
Federal Agency and GSE MBS
Federal Agency and GSE Residential Pass‐through MBS
a. TBA Cash transactions ...................................................................
b. TBA Dollar roll transactions..............................................................
c. Specified Pools Cash transactions ....................................................
d. Specified Pools Dollar roll transactions ...............................................
e. All Other Federal Agency and GSE Residential MBS ............................
f. Federal Agency and GSE CMBS.......................................................
Non‐Agency MBS
g. Non‐Agency Residential MBS...........................................................
h. Other CMBS .................................................................................

GSWB

Amount

With Others
2
GSWB

Amount

M498
R802
M500
M502
M504
M506
M508
LF60
LF62

M499
R803
M501
M503
M505
M507
M509
LF61
LF63

1.a.
1.b.
1.c.
1.d.
1.e.
1.f.
1.g.
1.h.
1.i.

M512
M514
M516
M518

M513
M515
M517
M519

2.a.
2.b.
2.c.
2.d.

M520

M521

M522

M523

3.a.
3.b.

MG01
MG03
MQ48
MQ50

MG02
MG04
MQ49
MQ51

M528
M530

M529
M531

4.a.
4.b.
4.c.
4.d.
4.e.
4.f.

M532
M534

M533
M535

4.g.
4.h.

Public reporting burden for this information collection is estimated to average 3.7 hours per response, including time to gather and maintain data in the required form and to review instructions
and complete the information collection. Comments regarding this burden estimate or any other aspect of this information collection, including suggestions for reducing the burden, may be
sent to Secretary, Board of Governors of the Federal Reserve System, 20th and C Streets, NW, Washington, DC 20551, and to the Office of Management and Budget, Paperwork Reduction
Project (7100-0003), Washington, DC 20503.

01/2022

FR 2004B
Page 2 of 2

Weekly Report of Cumulative Dealer Transactions—Continued
Cumulative Outright Transactions
With Inter-dealer
Brokers

With Others
2

1

Dollar Amounts in Millions at Principal Value
5. Corporate Securities
a. Commercial paper .........................................................................
Investment grade bonds, notes, and debentures
b. Due in less than or equal to 13 months...............................................
c. Due in more than 13 months but less than or equal to 5 years.................
d. Due in more than 5 years but less than or equal to 10 years ...................
e. Due in more than 10 years...............................................................
Below investment grade bonds, notes, and debentures
f. Due in less than or equal to 13 months...............................................
g. Due in more than 13 months but less than or equal to 5 years.................
h. Due in more than 5 years but less than or equal to 10 years ...................
i. Due in more than 10 years...............................................................
6. State and Municipal Government Obligations
a. Due in less than or equal to 13 months...............................................
b. Due in more than 13 months but less than or equal to 5 years.................
c. Due in more than 5 years but less than or equal to 10 years ..................
d. Due in more than 10 years...............................................................
e. Variable-rate demand notes .............................................................
7. Asset‐backed Securities
a. Credit card‐backed securities ...........................................................
b. Student loan‐backed securities .........................................................
c. Automobile loan‐backed securities .....................................................
d. Other asset‐backed securities ..........................................................
8. Total (lines 1 through 7) .......................................................................

Return by 4:00 p.m. the following business day to:
Statistics Function
Federal Reserve Bank of New York
33 Liberty Street
New York, NY 10045
FAX: (212) 720-5030 or (646) 720-5030

GSWB

Amount

GSWB

Amount

M536

M537

5.a.

M538
R804
R806
R808

M539
R805
R807
R809

5.b.
5.c.
5.d.
5.e.

R810
R812
R814
R816

R811
R813
R815
R817

5.f.
5.g.
5.h.
5.i.

M544
R818
R820
R822
M548

M545
R819
R821
R823
M549

6.a.
6.b.
6.c.
6.d.
6.e.

M550
M552
M554
M556
M558

M551
M553
M555
M557
M559

7.a.
7.b.
7.c.
7.d.
8.

Person to whom questions about this report should be directed:

Name of Preparer

Area Code / Phone Number

Dealer Name

Comments:

“To the best of my knowledge, the report has been prepared in conformity with the instructions issued by the Federal Reserve Bank of
New York and is accurate. I am responsible for the internal controls over the reporting of the data in this report and believe that these
controls are effective. These internal controls are (1) designed to ensure the accuracy of this data, (2) monitored and reviewed by audit
or compliance staff, and (3) assessed regularly by management of the named institution. I agree to report any material deficiencies in
these internal controls and any inaccuracies in data already reported to the Federal Reserve Bank of New York.”
Note: Dealers are only required to submit a copy of this attestation with the last as-of date of each year.

Name

Title

Signature

Date (MM/DD/YYYY)

01/2022

FR 2004C
OMB Number 7100-0003
Approval expires June 30, 2024
Page 1 of 9

Board of Governors of the Federal Reserve System

Weekly Report of Dealer Financing and Fails—FR 2004C
As of close of trading on Wednesday,
Month / Day / Year

The FR 2004 reports are authorized by law (12 U.S.C. §§ 225a, 263c, 353-359, and
391). These reports are required to obtain the benefit of primary dealer status.
Individual primary dealer data are regarded as confidential under the Freedom of
Information Act and are treated as such by the Federal Reserve System. Individual
primary dealer 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 primary dealer. If it
should be determined subsequently that any information collected on these reports
must be released, primary dealers will be notified. The Federal Reserve may not conduct or sponsor, and an organization is not required to respond to, a collection of information unless it displays a currently valid OMB control number.

Dollar Amounts in Millions
1. Repurchase Agreements
a. U.S. Treasury securities (excluding TIPS) ......................................................................
b. U.S. Treasury Inflation‐Protected Securities (TIPS) ..........................................................
c. Federal Agency and GSE Securities (excluding MBS) ......................................................
d. Federal Agency and GSE Residential MBS ....................................................................
e. Federal Agency and GSE CMBS..................................................................................
f. Corporate Debt ........................................................................................................
g. Asset-backed securities .............................................................................................
h. Equities ..................................................................................................................
i. Other .....................................................................................................................
2. Reverse Repurchase Agreements
a. U.S. Treasury securities (excluding TIPS) ......................................................................
b. U.S. Treasury Inflation‐Protected Securities (TIPS) ..........................................................
c. Federal Agency and GSE Securities (excluding MBS) ......................................................
d. Federal Agency and GSE Residential MBS ....................................................................
e. Federal Agency and GSE CMBS..................................................................................
f. Corporate Debt ........................................................................................................
g. Asset-backed securities .............................................................................................
h. Equities ..................................................................................................................
i. Other .....................................................................................................................
3. Total (lines 1 – 2)...........................................................................................................

Overnight and
Continuing
1
Amount
GSCW

Uncleared Bilateral
Specified
Term Agreement
(less than 30 days)
2
Amount
GSCW

MB62
MB84
MC06
MC28
MC50
MC72
MC94
MD16
MD38

MB63
MB85
MC07
MC29
MC51
MC73

MD60
MD82
ME04
ME26
ME48
ME70
ME92
MF14
MF36
MF58

Term Agreement
(30 days or greater)
3
Amount
GSCW

MC95
MD17
MD39

MB64
MB86
MC08
MC30
MC52
MC74
MC96
MD18
MD40

1.a.
1.b.
1.c.
1.d.
1.e.
1.f.
1.g.
1.h.
1.i.

MD61
MD83
ME05
ME27
ME49
ME71
ME93
MF15
MF37
MF59

MD62
MD84
ME06
ME28
ME50
ME72
ME94
MF16
MF38
MF60

2.a.
2.b.
2.c.
2.d.
2.e.
2.f.
2.g.
2.h.
2.i.
3.

Public reporting burden for this information collection is estimated to average 3.1 hours per response, including time to gather and maintain data in the required form and to review instructions and complete the information collection. Comments regarding
this burden estimate or any other aspect of this information collection, including suggestions for reducing the burden, may be sent to Secretary, Board of Governors of the Federal Reserve System, 20th and C Streets, NW, Washington, DC 20551, and to
the Office of Management and Budget, Paperwork Reduction Project (7100-0003), Washington, DC 20503.

01/2022

FR 2004C
Page 2 of 9

Weekly Report of Dealer Financing and Fails—Continued

Dollar Amounts in Millions
1. Repurchase Agreements
a. U.S. Treasury securities (excluding TIPS) ......................................................................
b. U.S. Treasury Inflation‐Protected Securities (TIPS) ..........................................................
c. Federal Agency and GSE Securities (excluding MBS) ......................................................
d. Federal Agency and GSE Residential MBS ....................................................................
e. Federal Agency and GSE CMBS..................................................................................
f. Corporate Debt ........................................................................................................
g. Asset-backed securities .............................................................................................
h. Equities ..................................................................................................................
i. Other .....................................................................................................................
2. Reverse Repurchase Agreements
a. U.S. Treasury securities (excluding TIPS) ......................................................................
b. U.S. Treasury Inflation‐Protected Securities (TIPS) ..........................................................
c. Federal Agency and GSE Securities (excluding MBS) ......................................................
d. Federal Agency and GSE Residential MBS ....................................................................
e. Federal Agency and GSE CMBS..................................................................................
f. Corporate Debt ........................................................................................................
g. Asset-backed securities .............................................................................................
h. Equities ..................................................................................................................
i. Other .....................................................................................................................
3. Total (lines 1 – 2)...........................................................................................................

Overnight and
Continuing
4
Amount
GSCW

Uncleared Bilateral—Continued
General
Term Agreement
Term Agreement
(less than 30 days)
(30 days or greater)
5
6
Amount
Amount
GSCW
GSCW

MB65
MB87
MC09
MC31
MC53
MC75
MC97
MD19
MD41

MB66
MB88
MC10
MC32
MC54
MC76
MC98
MD20
MD42

MB67
MB89
MC11
MC33
MC55
MC77
MC99
MD21
MD43

1.a.
1.b.
1.c.
1.d.
1.e.
1.f.
1.g.
1.h.
1.i.

MD63
MD85
ME07
ME29
ME51
ME73
ME95
MF17
MF39
MF61

MD64
MD86
ME08
ME30
ME52
ME74
ME96
MF18
MF40
MF62

MD65
MD87
ME09
ME31
ME53
ME75
ME97
MF19
MF41
MF63

2.a.
2.b.
2.c.
2.d.
2.e.
2.f.
2.g.
2.h.
2.i.
3.

01/2022

FR 2004C
Page 3 of 9

Weekly Report of Dealer Financing and Fails—Continued

Dollar Amounts in Millions
1. Repurchase Agreements
a. U.S. Treasury securities (excluding TIPS) ......................................................................
b. U.S. Treasury Inflation‐Protected Securities (TIPS) ..........................................................
c. Federal Agency and GSE Securities (excluding MBS) ......................................................
d. Federal Agency and GSE Residential MBS ....................................................................
e. Federal Agency and GSE CMBS..................................................................................
f. Corporate Debt ........................................................................................................
g. Asset-backed securities .............................................................................................
h. Equities ..................................................................................................................
i. Other .....................................................................................................................
2. Reverse Repurchase Agreements
a. U.S. Treasury securities (excluding TIPS) ......................................................................
b. U.S. Treasury Inflation‐Protected Securities (TIPS) ..........................................................
c. Federal Agency and GSE Securities (excluding MBS) ......................................................
d. Federal Agency and GSE Residential MBS ....................................................................
e. Federal Agency and GSE CMBS..................................................................................
f. Corporate Debt ........................................................................................................
g. Asset-backed securities .............................................................................................
h. Equities ..................................................................................................................
i. Other .....................................................................................................................
3. Total (lines 1 – 2)...........................................................................................................

Overnight and
Continuing
7
Amount
GSCW

Cleared Bilateral
Specified
Term Agreement
(less than 30 days)
8
Amount
GSCW

MB68
MB90
MC12
MC34
MC56
MC78
MD00
MD22
MD44

MB69
MB91
MC13
MC35
MC57
MC79

MD66
MD88
ME10
ME32
ME54
ME76
ME98
MF20
MF42
MF64

Term Agreement
(30 days or greater)
9
Amount
GSCW

MD01
MD23
MD45

MB70
MB92
MC14
MC36
MC58
MC80
MD02
MD24
MD46

1.a.
1.b.
1.c.
1.d.
1.e.
1.f.
1.g.
1.h.
1.i.

MD67
MD89
ME11
ME33
ME55
ME77
ME99
MF21
MF43
MF65

MD68
MD90
ME12
ME34
ME56
ME78
MF00
MF22
MF44
MF66

2.a.
2.b.
2.c.
2.d.
2.e.
2.f.
2.g.
2.h.
2.i.
3.

01/2022

FR 2004C
Page 4 of 9

Weekly Report of Dealer Financing and Fails—Continued

Dollar Amounts in Millions
1. Repurchase Agreements
a. U.S. Treasury securities (excluding TIPS) ......................................................................
b. U.S. Treasury Inflation‐Protected Securities (TIPS) ..........................................................
c. Federal Agency and GSE Securities (excluding MBS) ......................................................
d. Federal Agency and GSE Residential MBS ....................................................................
e. Federal Agency and GSE CMBS..................................................................................
f. Corporate Debt ........................................................................................................
g. Asset-backed securities .............................................................................................
h. Equities ..................................................................................................................
i. Other .....................................................................................................................
2. Reverse Repurchase Agreements
a. U.S. Treasury securities (excluding TIPS) ......................................................................
b. U.S. Treasury Inflation‐Protected Securities (TIPS) ..........................................................
c. Federal Agency and GSE Securities (excluding MBS) ......................................................
d. Federal Agency and GSE Residential MBS ....................................................................
e. Federal Agency and GSE CMBS..................................................................................
f. Corporate Debt ........................................................................................................
g. Asset-backed securities .............................................................................................
h. Equities ..................................................................................................................
i. Other .....................................................................................................................
3. Total (lines 1 – 2)...........................................................................................................

Overnight and
Continuing
10
Amount
GSCW

Cleared Bilateral—Continued
General
Term Agreement
Term Agreement
(less than 30 days)
(30 days or greater)
11
12
Amount
Amount
GSCW
GSCW

MB71
MB93
MC15
MC37
MC59
MC81
MD03
MD25
MD47

MB72
MB94
MC16
MC38
MC60
MC82
MD04
MD26
MD48

MB73
MB95
MC17
MC39
MC61
MC83
MD05
MD27
MD49

1.a.
1.b.
1.c.
1.d.
1.e.
1.f.
1.g.
1.h.
1.i.

MD69
MD91
ME13
ME35
ME57
ME79
MF01
MF23
MF45
MF67

MD70
MD92
ME14
ME36
ME58
ME80
MF02
MF24
MF46
MF68

MD71
MD93
ME15
ME37
ME59
ME81
MF03
MF25
MF47
MF69

2.a.
2.b.
2.c.
2.d.
2.e.
2.f.
2.g.
2.h.
2.i.
3.

01/2022

FR 2004C
Page 5 of 9

Weekly Report of Dealer Financing and Fails—Continued

Dollar Amounts in Millions
1. Repurchase Agreements
a. U.S. Treasury securities (excluding TIPS) ......................................................................
b. U.S. Treasury Inflation‐Protected Securities (TIPS) ..........................................................
c. Federal Agency and GSE Securities (excluding MBS) ......................................................
d. Federal Agency and GSE Residential MBS ....................................................................
e. Federal Agency and GSE CMBS..................................................................................
f. Corporate Debt ........................................................................................................
g. Asset-backed securities .............................................................................................
h. Equities ..................................................................................................................
i. Other .....................................................................................................................
2. Reverse Repurchase Agreements
a. U.S. Treasury securities (excluding TIPS) ......................................................................
b. U.S. Treasury Inflation‐Protected Securities (TIPS) ..........................................................
c. Federal Agency and GSE Securities (excluding MBS) ......................................................
d. Federal Agency and GSE Residential MBS ....................................................................
e. Federal Agency and GSE CMBS..................................................................................
f. Corporate Debt ........................................................................................................
g. Asset-backed securities .............................................................................................
h. Equities ..................................................................................................................
i. Other .....................................................................................................................
3. Total (lines 1 – 2)...........................................................................................................

Overnight and
Continuing
13
Amount
GSCW

Cleared Bilateral—Continued
Sponsored
Term Agreement
Term Agreement
(less than 30 days)
(30 days or greater)
14
15
Amount
Amount
GSCW
GSCW

MB74
MB96
MC18
MC40
MC62
MC84
MD06
MD28
MD50

MB75
MB97
MC19
MC41
MC63
MC85
MD07
MD29
MD51

MB76
MB98
MC20
MC42
MC64
MC86
MD08
MD30
MD52

1.a.
1.b.
1.c.
1.d.
1.e.
1.f.
1.g.
1.h.
1.i.

MD72
MD94
ME16
ME38
ME60
ME82
MF04
MF26
MF48
MF70

MD73
MD95
ME17
ME39
ME61
ME83
MF05
MF27
MF49
MF71

MD74
MD96
ME18
ME40
ME62
ME84
MF06
MF28
MF50
MF72

2.a.
2.b.
2.c.
2.d.
2.e.
2.f.
2.g.
2.h.
2.i.
3.

01/2022

FR 2004C
Page 6 of 9

Weekly Report of Dealer Financing and Fails—Continued

Dollar Amounts in Millions
1. Repurchase Agreements
a. U.S. Treasury securities (excluding TIPS) ......................................................................
b. U.S. Treasury Inflation‐Protected Securities (TIPS) ..........................................................
c. Federal Agency and GSE Securities (excluding MBS) ......................................................
d. Federal Agency and GSE Residential MBS ....................................................................
e. Federal Agency and GSE CMBS..................................................................................
f. Corporate Debt ........................................................................................................
g. Asset-backed securities .............................................................................................
h. Equities ..................................................................................................................
i. Other .....................................................................................................................
2. Reverse Repurchase Agreements
a. U.S. Treasury securities (excluding TIPS) ......................................................................
b. U.S. Treasury Inflation‐Protected Securities (TIPS) ..........................................................
c. Federal Agency and GSE Securities (excluding MBS) ......................................................
d. Federal Agency and GSE Residential MBS ....................................................................
e. Federal Agency and GSE CMBS..................................................................................
f. Corporate Debt ........................................................................................................
g. Asset-backed securities .............................................................................................
h. Equities ..................................................................................................................
i. Other .....................................................................................................................
3. Total (lines 1 – 2)...........................................................................................................

Overnight and
Continuing
16
Amount
GSCW

GCF
Term Agreement
(less than 30 days)
17
Amount
GSCW

MB77
MB99
MC21
MC43
MC65
MC87
MD09
MD31
MD53

MB78
MC00
MC22
MC44
MC66
MC88

MD75
MD97
ME19
ME41
ME63
ME85
MF07
MF29
MF51
MF73

Term Agreement
(30 days or greater)
18
Amount
GSCW

MD10
MD32
MD54

MB79
MC01
MC23
MC45
MC67
MC89
MD11
MD33
MD55

1.a.
1.b.
1.c.
1.d.
1.e.
1.f.
1.g.
1.h.
1.i.

MD76
MD98
ME20
ME42
ME64
ME86
MF08
MF30
MF52
MF74

MD77
MD99
ME21
ME43
ME65
ME87
MF09
MF31
MF53
MF75

2.a.
2.b.
2.c.
2.d.
2.e.
2.f.
2.g.
2.h.
2.i.
3.

01/2022

FR 2004C
Page 7 of 9

Weekly Report of Dealer Financing and Fails—Continued

Overnight and
Continuing
19
Amount
Dollar Amounts in Millions GSCW

1. Repurchase Agreements
a. U.S. Treasury securities (excluding TIPS) ......................................
b. U.S. Treasury Inflation‐Protected Securities (TIPS) ..........................
c. Federal Agency and GSE Securities (excluding MBS) ......................
d. Federal Agency and GSE Residential MBS ....................................
e. Federal Agency and GSE CMBS..................................................
f. Corporate Debt ........................................................................
g. Asset-backed securities .............................................................
h. Equities ..................................................................................
i. Other .....................................................................................
2. Reverse Repurchase Agreements
a. U.S. Treasury securities (excluding TIPS) ......................................
b. U.S. Treasury Inflation‐Protected Securities (TIPS) ..........................
c. Federal Agency and GSE Securities (excluding MBS) ......................
d. Federal Agency and GSE Residential MBS ....................................
e. Federal Agency and GSE CMBS..................................................
f. Corporate Debt ........................................................................
g. Asset-backed securities .............................................................
h. Equities ..................................................................................
i. Other .....................................................................................
3. Total (lines 1 – 2)...........................................................................

TriParty Excluding GCF
Term Agreement
Term Agreement
(less than 30 days)
(30 days or greater)
20
21
Amount
Amount
GSCW
GSCW

MB80
MC02
MC24
MC46
MC68
MC90
MD12
MD34
MD56

MB81
MC03
MC25
MC47
MC69
MC91

MD78
ME00
ME22
ME44
ME66
ME88
MF10
MF32
MF54
MF76

GSCW

Total
22
Amount

MD13
MD35
MD57

MB82
MC04
MC26
MC48
MC70
MC92
MD14
MD36
MD58

MB83
MC05
MC27
MC49
MC71
MC93
MD15
MD37
MD59

1.a.
1.b.
1.c.
1.d.
1.e.
1.f.
1.g.
1.h.
1.i.

MD79
ME01
ME23
ME45
ME67
ME89
MF11
MF33
MF55
MF77

MD80
ME02
ME24
ME46
ME68
ME90
MF12
MF34
MF56
MF78

MD81
ME03
ME25
ME47
ME69
ME91
MF13
MF35
MF57
MF79

2.a.
2.b.
2.c.
2.d.
2.e.
2.f.
2.g.
2.h.
2.i.
3.

01/2022

FR 2004C
Page 8 of 9

Weekly Report of Dealer Financing and Fails—Continued
Overnight and
Continuing
1
Amount
Dollar Amounts in Millions GSCW

4. Other Financing Activity, Securities Lent
a. U.S. Treasury securities (excluding TIPS) ......................................
b. U.S. Treasury Inflation‐Protected Securities (TIPS) ..........................
c. Federal Agency and GSE Securities (excluding MBS) ......................
d. Federal Agency and GSE Residential MBS ....................................
e. Federal Agency and GSE CMBS..................................................
f. Corporate Debt ........................................................................
g. Asset-backed securities .............................................................
h. Equities ..................................................................................
i. Other .....................................................................................
5. Other Financing Activity, Securities Borrowed
a. U.S. Treasury securities (excluding TIPS) ......................................
b. U.S. Treasury Inflation‐Protected Securities (TIPS) ..........................
c. Federal Agency and GSE Securities (excluding MBS) ......................
d. Federal Agency and GSE Residential MBS ....................................
e. Federal Agency and GSE CMBS..................................................
f. Corporate Debt ........................................................................
g. Asset-backed securities .............................................................
h. Equities ..................................................................................
i. Other .....................................................................................
6. Total (lines 4 – 5)...........................................................................

Term Agreement
(less than 30 days)
2
Amount
GSCW

Term Agreement
(30 days or greater)
3
Amount
GSCW

GSCW

M616
M620
M624
MF80

M617
M621
M625
MF81

M618
M622
M626
MF82

M619
M623
M627
MF83

MF84

MF85

MF86

MF87

M632
R832
M636
M640

M633
R833
M637
M641

M634
R834
M638
M642

M635
R835
M639
M643

4.a.
4.b.
4.c.
4.d.
4.e.
4.f.
4.g.
4.h.
4.i.

M644
M648
M652
MF88
MF92
M660
R836
M664
M668
M672

M645
M649
M653
MF89
MF93
M661
R837
M665
M669
M673

M646
M650
M654
MF90
MF94
M662
R838
M666
M670
M674

M647
M651
M655
MF91
MF95
M663
R839
M667
M671
M675

5.a.
5.b.
5.c.
5.d.
5.e.
5.f.
5.g.
5.h.
5.i.
6.

Fails to Receive
1

7. Aggregate Fails
a. U.S. Treasury securities (excluding TIPS) ......................................
b. U.S. Treasury Inflation‐Protected Securities (TIPS) ..........................
c. Federal agency and GSE Securities (excluding MBS).......................
d. Federal agency and GSE MBS ....................................................
e. Other MBS ..............................................................................
f. Corporate securities ..................................................................
8. Total (line 6).................................................................................

M676
M678
M680
M682
M684
M686
M688

Total
4
Amount

Fails to Deliver
2
M677
M679
M681
M683
M685
M687
M689

7.a.
7.b.
7.c.
7.d.
7.e.
7.f.
8.

01/2022

FR 2004C
Page 9 of 9

Weekly Report of Dealer Financing and Fails—Continued
Return by 4:00 p.m. the following business day to:
Statistics Function
Federal Reserve Bank of New York
33 Liberty Street
New York, NY 10045
FAX: (212) 720-5030 or (646) 720-5030

Person to whom questions about this report should be directed:

Name of Preparer

Area Code / Phone Number

Dealer Name

Comments:

“To the best of my knowledge, the report has been prepared in conformity with the instructions issued by the Federal Reserve Bank of New York and is accurate. I am responsible for
the internal controls over the reporting of the data in this report and believe that these controls are effective. These internal controls are (1) designed to ensure the accuracy of this
data, (2) monitored and reviewed by audit or compliance staff, and (3) assessed regularly by management of the named institution. I agree to report any material deficiencies in
these internal controls and any inaccuracies in data already reported to the Federal Reserve Bank of New York.”
Note: Dealers are only required to submit a copy of this attestation with the last as-of date of each year.

Name

Title

Signature

Date (MM/DD/YYYY)

01/2015

FR 2004SI
OMB Number 7100-0003
Approval expires June 30, 2024
Page 1 of 2

Board of Governors of the Federal Reserve System

Weekly Report of Specific Issues—FR 2004SI

As of close of trading on Wednesday,
Month / Day / Year

The FR 2004 reports are authorized by law (12 U.S.C. §§ 225a, 263c, 353-359, and
391). These reports are required to obtain the benefit of primary dealer status.
Individual primary dealer data are regarded as confidential under the Freedom of
Information Act and are treated as such by the Federal Reserve System. Individual
primary dealer data reported on the FR 2004 reports will not be published or otherwise

Dollar Amounts in Millions at Par Value
Gross Financing
Securities In
Securities Out
Specific Transactions
General
Specific Transactions
General

Cumulative Outright
Transactions
Security
Maturity

Rate
1

GSSD
1
2
3
4
5
6
7
8
9
10
11
Total

1962

8801

With
Interdealer
Broker
2
M695

With
Others
3
M696

publicly disclosed. Aggregate data derived from these reports that are published or otherwise publicly disclosed will not reveal the identity of any individual primary dealer. If it
should be determined subsequently that any information collected on these reports
must be released, primary dealers will be notified. The Federal Reserve may not conduct or sponsor, and an organization is not required to respond to, a collection of information unless it displays a currently valid OMB control number.

Net Settled
Position ON/Open
4
M697

5
M698

Term

ON/Open

Term

ON/Open

Term

ON/Open

Term

6
M699

7
M700

8
M701

9
M702

10
M703

11
M704

12
M705

Fails
to Receive to Deliver
13
M706

14
M707

FRBNY
Security
ID
15
M694
2
3
5
7
10
20
30
55
60
80
102

1.
2.
3.
4.
5.
6.
7.
8.
9.
10.
11.

Public reporting burden for this information collection is estimated to average 2.2 hours per response, including time to gather and maintain data in the required form and to review instructions and complete the information collection. Comments regarding
this burden estimate or any other aspect of this information collection, including suggestions for reducing the burden, may be sent to Secretary, Board of Governors of the Federal Reserve System, 20th and C Streets, NW, Washington, DC 20551, and to
the Office of Management and Budget, Paperwork Reduction Project (7100-0003), Washington, DC 20503.

01/2022

FR 2004SI
Page 2 of 2

Weekly Report of Specific Issues—Continued
Return by 4:00 p.m. the following business day to:
Statistics Function
Federal Reserve Bank of New York
33 Liberty Street
New York, NY 10045
FAX: (212) 720-5030 or (646) 720-5030

Person to whom questions about this report should be directed:

Name of Preparer

Area Code / Phone Number

Dealer Name

Comments:

“To the best of my knowledge, the report has been prepared in conformity with the instructions issued by the Federal Reserve Bank of New York and is accurate. I am responsible for
the internal controls over the reporting of the data in this report and believe that these controls are effective. These internal controls are (1) designed to ensure the accuracy of this
data, (2) monitored and reviewed by audit or compliance staff, and (3) assessed regularly by management of the named institution. I agree to report any material deficiencies in
these internal controls and any inaccuracies in data already reported to the Federal Reserve Bank of New York.”
Note: Dealers are only required to submit a copy of this attestation with the last as-of date of each year.

Name

Title

Signature

Date (MM/DD/YYYY)

03/2013

FR 2004SD
OMB Number 7100-0003
Approval expires June 30, 2024
Page 1 of 2

Board of Governors of the Federal Reserve System

Daily Report of Specific Issues—FR 2004SD

As of close of trading on:
Month / Day / Year

The FR 2004 reports are authorized by law (12 U.S.C. §§ 225a, 263c, 353-359, and
391). These reports are required to obtain the benefit of primary dealer status.
Individual primary dealer data are regarded as confidential under the Freedom of
Information Act and are treated as such by the Federal Reserve System. Individual
primary dealer data reported on the FR 2004 reports will not be published or otherwise

Dollar Amounts in Millions at Par Value
Gross Financing
Securities In
Securities Out
Specific Transactions
General
Specific Transactions
General

Cumulative Outright
Transactions
Security
Maturity

Rate
1

GSSD
1
2
3
4
5
6
7
8
9
10
11
Total

1962

8801

With
Interdealer
Broker
2
M695

With
Others
3
M696

publicly disclosed. Aggregate data derived from these reports that are published or otherwise publicly disclosed will not reveal the identity of any individual primary dealer. If it
should be determined subsequently that any information collected on these reports
must be released, primary dealers will be notified. The Federal Reserve may not conduct or sponsor, and an organization is not required to respond to, a collection of information unless it displays a currently valid OMB control number.

Net Settled
Position ON/Open
4
M697

5
M698

Term

ON/Open

Term

ON/Open

Term

ON/Open

Term

6
M699

7
M700

8
M701

9
M702

10
M703

11
M704

12
M705

Fails
to Receive to Deliver
13
M706

14
M707

FRBNY
Security
ID
15
M694
1.
2.
3.
4.
5.
6.
7.
8.
9.
10.
11.

Public reporting burden for this information collection is estimated to average 2.2 hours per response, including time to gather and maintain data in the required form and to review instructions and complete the information collection. Comments regarding
this burden estimate or any other aspect of this information collection, including suggestions for reducing the burden, may be sent to Secretary, Board of Governors of the Federal Reserve System, 20th and C Streets, NW, Washington, DC 20551, and to
the Office of Management and Budget, Paperwork Reduction Project (7100-0003), Washington, DC 20503.

01/2022

FR 2004SD
Page 2 of 2

Daily Report of Specific Issues—Continued
Return by 4:00 p.m. the following business day to:
Statistics Function
Federal Reserve Bank of New York
33 Liberty Street
New York, NY 10045
FAX: (212) 720-5030 or (646) 720-5030

Person to whom questions about this report should be directed:

Name of Preparer

Area Code / Phone Number

Dealer Name

Comments:

“To the best of my knowledge, the report has been prepared in conformity with the instructions issued by the Federal Reserve Bank of New York and is accurate. I am responsible for
the internal controls over the reporting of the data in this report and believe that these controls are effective. These internal controls are (1) designed to ensure the accuracy of this
data, (2) monitored and reviewed by audit or compliance staff, and (3) assessed regularly by management of the named institution. I agree to report any material deficiencies in
these internal controls and any inaccuracies in data already reported to the Federal Reserve Bank of New York.”
Note: Dealers are only required to submit a copy of this attestation with the last as-of date of each year.

Name

Title

Signature

Date (MM/DD/YYYY)

03/2013

FR 2004WI
OMB Number 7100-0003
Approval expires June 30, 2024
Page 1 of 1

Board of Governors of the Federal Reserve System

Daily Report of Dealer Activity in Treasury Financing
—FR 2004WI
As of close of trading on:
Month / Day / Year

The FR 2004 reports are authorized by law (12 U.S.C. §§ 225a,
263c, 353-359, and 391). These reports are required to obtain the
benefit of primary dealer status.
Individual primary dealer data are regarded as confidential under
the Freedom of Information Act and are treated as such by the
Federal Reserve System. Individual primary dealer data reported
on the FR 2004 reports will not be published or otherwise publicly

Security
Maturity

Rate
1

GSWI
1
2
3
4
5
6
7
8
9
10
Total

1962

8801

disclosed. Aggregate data derived from these reports that are
published or otherwise publicly disclosed will not reveal the identity of any individual primary dealer. If it should be determined
subsequently that any information collected on these reports must
be released, primary dealers will be notified. The Federal Reserve
may not conduct or sponsor, and an organization is not required
to respond to, a collection of information unless it displays a currently valid OMB control number.

Dollar Amounts in Millions at Par Value
Cumulative Outright Transactions
Net Forward
Net Outright
Financing
Positions
Commitments
Purchases
Sales
2
3
4
5
M690
M691
M692
M693

FRBNY
Security ID
6
M694
1.
2.
3.
4.
5.
6.
7.
8.
9.
10.

Return by 4:00 p.m. the following business day to:

Person to whom questions about this report should be directed:

Statistics Function
Federal Reserve Bank of New York
33 Liberty Street
New York, NY 10045

Name of Preparer

Area Code / Phone Number

FAX: (212) 720-5030 or (646) 720-5030
Dealer Name
Comments:

“To the best of my knowledge, the report has been prepared in conformity with the instructions issued by the Federal Reserve Bank of
New York and is accurate. I am responsible for the internal controls over the reporting of the data in this report and believe that these
controls are effective. These internal controls are (1) designed to ensure the accuracy of this data, (2) monitored and reviewed by audit
or compliance staff, and (3) assessed regularly by management of the named institution. I agree to report any material deficiencies in
these internal controls and any inaccuracies in data already reported to the Federal Reserve Bank of New York.”
Note: Dealers are only required to submit a copy of this attestation with the last as-of date of each year.
Name

Title

Signature

Date (MM/DD/YYYY)

Public reporting burden for this information collection is estimated to average 1 hour per response, including time to gather and maintain data in the required form and to review instructions
and complete the information collection. Comments regarding this burden estimate or any other aspect of this information collection, including suggestions for reducing the burden, may be
sent to Secretary, Board of Governors of the Federal Reserve System, 20th and C Streets, NW, Washington, DC 20551, and to the Office of Management and Budget, Paperwork
Reduction Project (7100-0003), Washington, DC 20503.
01/2022

FR 2004FA
OMB Number 7100-0003
Approval expires June 30, 2024
Page 1 of 2

Board of Governors of the Federal Reserve System

Settlement Cycle Report of Dealer Fails and Transaction
Volumes: Class A—FR 2004FA
As of close of trading on:
Month / Day / Year

For the settlement month of:
Month

The FR 2004 reports are authorized by law (12 U.S.C. §§ 225a,
263c, 353-359, and 391). These reports are required to obtain the
benefit of primary dealer status.
Individual primary dealer data are regarded as confidential under
the Freedom of Information Act and are treated as such by the
Federal Reserve System. Individual primary dealer 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 primary dealer. If it should be determined
subsequently that any information collected on these reports must
be released, primary dealers will be notified. The Federal Reserve
may not conduct or sponsor, and an organization is not required
to respond to, a collection of information unless it displays a currently valid OMB control number.

FNMA / FHLMC UMBS
Fails to Receive
1

Dollar Amounts in Millions
1. 30-year federal agency and
GSE pass-through MBS fails
a. <2.5% .........................
b. 2.5% ...........................
c. 3.0% ..........................
d. 3.5% ...........................
e. 4.0% ...........................
f. 4.5% ...........................
g. 5.0% ...........................
h. 5.5% ...........................
i. 6.0% ...........................
j. >6.0% .........................
2. Total (line 1) ......................

GSFA

Amount

MG05
MG09
MG13

FHLMC Non-UMBS

Fails to Deliver
2
GSFA

Amount

MG06
MG10
MG14
MG18
MG22
MG26
MG30
MG34
MG38
MG42
MG46

MG17
MG21
MG25
MG29
MG33
MG37
MG41
MG45
Outright
1

Fails to Receive
3
GSFA

Amount

MG07
MG11
MG15
MG19
MG23
MG27
MG31
MG35
MG39
MG43
MG47
Dollar Roll
2

Fails to Deliver
4
GSFA

Amount

MG08
MG12
MG16
MG20
MG24
MG28
MG32
MG36
MG40
MG44
MG48
Outright
3

1.a.
1.b.
1.c.
1.d.
1.e.
1.f.
1.g.
1.h.
1.i.
1.j.
2.
Dollar Roll
4

3. 30-year federal agency and
GSE pass-through
MBS transaction volumes
a. <2.5% .........................
b. 2.5% ...........................
c. 3.0% ...........................
d. 3.5% ...........................
e. 4.0% ...........................
f. 4.5% ...........................
g. 5.0% ...........................
h. 5.5% ...........................
i. 6.0% ...........................
j. >6.0% .........................
4. Total (line 3) ......................

MG49
MG53
MG57
MG61
MG65
MG69
MG73
MG77
MG81
MG85
MG89

MG50
MG54
MG58
MG62
MG66
MG70
MG74
MG78
MG82
MG86
MG90

MG51
MG55
MG59
MG63
MG67
MG71
MG75
MG79
MG83
MG87
MG91

MG52
MG56
MG60
MG64
MG68
MG72
MG76
MG80
MG84
MG88
MG92

3.a.
3.b.
3.c.
3.d.
3.e.
3.f.
3.g.
3.h.
3.i.
3.j.
4.

Public reporting burden for this information collection is estimated to average 1 hour per response, including time to gather and maintain data in the required form and to review instructions
and complete the information collection. Comments regarding this burden estimate or any other aspect of this information collection, including suggestions for reducing the burden, may be
sent to Secretary, Board of Governors of the Federal Reserve System, 20th and C Streets, NW, Washington, DC 20551, and to the Office of Management and Budget, Paperwork
Reduction Project (7100-0003), Washington, DC 20503.

01/2022

FR 2004FA
Page 2 of 2

Settlement Cycle Report of Dealer Fails and Transaction
Volumes: Class A—Continued
Return by 4:00 p.m. the following business day to:

Person to whom questions about this report should be directed:

Statistics Function
Federal Reserve Bank of New York
33 Liberty Street
New York, NY 10045

Name of Preparer

Area Code / Phone Number

FAX: (212) 720-5030 or (646) 720-5030
Dealer Name
Comments:

“To the best of my knowledge, the report has been prepared in conformity with the instructions issued by the Federal Reserve Bank of
New York and is accurate. I am responsible for the internal controls over the reporting of the data in this report and believe that these
controls are effective. These internal controls are (1) designed to ensure the accuracy of this data, (2) monitored and reviewed by audit
or compliance staff, and (3) assessed regularly by management of the named institution. I agree to report any material deficiencies in
these internal controls and any inaccuracies in data already reported to the Federal Reserve Bank of New York.”
Note: Dealers are only required to submit a copy of this attestation with the last as-of date of each year.

Name

Title

Signature

Date (MM/DD/YYYY)

01/2015

FR 2004FB
OMB Number 7100-0003
Approval expires June 30, 2024
Page 1 of 2

Board of Governors of the Federal Reserve System

Settlement Cycle Report of Dealer Fails and Transaction
Volumes: Class B—FR 2004FB
As of close of trading on:
Month / Day / Year

For the settlement month of:
Month

The FR 2004 reports are authorized by law (12 U.S.C. §§ 225a,
263c, 353-359, and 391). These reports are required to obtain the
benefit of primary dealer status.
Individual primary dealer data are regarded as confidential under
the Freedom of Information Act and are treated as such by the
Federal Reserve System. Individual primary dealer 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 primary dealer. If it should be determined
subsequently that any information collected on these reports must
be released, primary dealers will be notified. The Federal Reserve
may not conduct or sponsor, and an organization is not required
to respond to, a collection of information unless it displays a currently valid OMB control number.

FNMA / FHLMC UMBS
Fails to Receive
1

Dollar Amounts in Millions
1. 15-year federal agency and
GSE pass-through MBS fails
a. <2.0% .........................
b. 2.0% ...........................
c. 2.5% ..........................
d. 3.0% ...........................
e. 3.5% ...........................
f. 4.0% ...........................
g. 4.5% ...........................
h. 5.0% ...........................
i. 5.5% ...........................
j. >5.5% .........................
2. Total (line 1) ......................

GSFB

Amount

MH02
MH06
MH10
MH14
MH18
MH22
MH26
MH30
MH34
MH38
MH42

FHLMC Non-UMBS

Fails to Deliver
2
GSFB

Amount

MH03
MH07
MH11
MH15
MH19
MH23
MH27
MH31
MH35
MH39
MH43
Outright
1

Fails to Receive
3
GSFB

Amount

MH04
MH08
MH12
MH16
MH20
MH24
MH28
MH32
MH36
MH40
MH44
Dollar Roll
2

Fails to Deliver
4
GSFB

Amount

MH05
MH09
MH13
MH17
MH21
MH25
MH29
MH33
MH37
MH41
MH45
Outright
3

1.a.
1.b.
1.c.
1.d.
1.e.
1.f.
1.g.
1.h.
1.i.
1.j.
2.
Dollar Roll
4

3. 15-year federal agency and
GSE pass-through
MBS transaction volumes
a. <2.0% .........................
b. 2.0% ...........................
c. 2.5% ...........................
d. 3.0% ...........................
e. 3.5% ...........................
f. 4.0% ...........................
g. 4.5% ...........................
h. 5.0% ...........................
i. 5.5% ...........................
j. >5.5% .........................
4. Total (line 3) ......................

MH46
MH50
MH54
MH58
MH62
MH66
MH70
MH74
MH78
MH82
MH86

MH47
MH51
MH55
MH59
MH63
MH67
MH71
MH75
MH79
MH83
MH87

MH48
MH52
MH56
MH60
MH64
MH68
MH72
MH76
MH80
MH84
MH88

MH49
MH53
MH57
MH61
MH65
MH69
MH73
MH77
MH81
MH85
MH89

3.a.
3.b.
3.c.
3.d.
3.e.
3.f.
3.g.
3.h.
3.i.
3.j.
4.

Public reporting burden for this information collection is estimated to average 1 hour per response, including time to gather and maintain data in the required form and to review instructions
and complete the information collection. Comments regarding this burden estimate or any other aspect of this information collection, including suggestions for reducing the burden, may be
sent to Secretary, Board of Governors of the Federal Reserve System, 20th and C Streets, NW, Washington, DC 20551, and to the Office of Management and Budget, Paperwork
Reduction Project (7100-0003), Washington, DC 20503.

01/2022

FR 2004FB
Page 2 of 2

Settlement Cycle Report of Dealer Fails and Transaction
Volumes: Class B—Continued
Return by 4:00 p.m. the following business day to:

Person to whom questions about this report should be directed:

Statistics Function
Federal Reserve Bank of New York
33 Liberty Street
New York, NY 10045

Name of Preparer

Area Code / Phone Number

FAX: (212) 720-5030 or (646) 720-5030
Dealer Name
Comments:

“To the best of my knowledge, the report has been prepared in conformity with the instructions issued by the Federal Reserve Bank of
New York and is accurate. I am responsible for the internal controls over the reporting of the data in this report and believe that these
controls are effective. These internal controls are (1) designed to ensure the accuracy of this data, (2) monitored and reviewed by audit
or compliance staff, and (3) assessed regularly by management of the named institution. I agree to report any material deficiencies in
these internal controls and any inaccuracies in data already reported to the Federal Reserve Bank of New York.”
Note: Dealers are only required to submit a copy of this attestation with the last as-of date of each year.

Name

Title

Signature

Date (MM/DD/YYYY)

01/2015

FR 2004FC
OMB Number 7100-0003
Approval expires June 30, 2024
Page 1 of 2

Board of Governors of the Federal Reserve System

Settlement Cycle Report of Dealer Fails and Transaction
Volumes: Class C—FR 2004FC
As of close of trading on:
Month / Day / Year

For the settlement month of:
Month

The FR 2004 reports are authorized by law (12 U.S.C. §§ 225a,
263c, 353-359, and 391). These reports are required to obtain the
benefit of primary dealer status.
Individual primary dealer data are regarded as confidential under
the Freedom of Information Act and are treated as such by the
Federal Reserve System. Individual primary dealer 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 primary dealer. If it should be determined
subsequently that any information collected on these reports must
be released, primary dealers will be notified. The Federal Reserve
may not conduct or sponsor, and an organization is not required
to respond to, a collection of information unless it displays a currently valid OMB control number.
GNMA
Fails to Receive
1

Dollar Amounts in Millions
1. 30-year GNMA pass-through MBS fails
a. <2.5% ........................................................................................
b. 2.5% ..........................................................................................
c. 3.0% ..........................................................................................
d. 3.5% ..........................................................................................
e. 4.0% ..........................................................................................
f. 4.5% ..........................................................................................
g. 5.0% ..........................................................................................
h. 5.5% ..........................................................................................
i. 6.0% ..........................................................................................
j. >6.0% ........................................................................................
2. Total (line 1) .....................................................................................

GSFC

Amount

S020
S022
S024
S026
S028
S030
S032
S034
S036
S038
S040

Fails to Deliver
2
GSFC
S021
S023
S025
S027
S029
S031

S042
S044
S046
S048
S050
S052
S054
S056
S058
S060
S062

1.a.
1.b.
1.c.
1.d.
1.e.
1.f.
1.g.
1.h.
1.i.
1.j.
2.

S033
S035
S037
S039
S041
Outright
1

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

Amount

Dollar Roll
2
S043
S045
S047
S049
S051
S053
S055
S057
S059
S061
S063

3.a.
3.b.
3.c.
3.d.
3.e.
3.f.
3.g.
3.h.
3.i.
3.j.
4.

Public reporting burden for this information collection is estimated to average 1 hour per response, including time to gather and maintain data in the required form and to review instructions
and complete the information collection. Comments regarding this burden estimate or any other aspect of this information collection, including suggestions for reducing the burden, may be
sent to Secretary, Board of Governors of the Federal Reserve System, 20th and C Streets, NW, Washington, DC 20551, and to the Office of Management and Budget, Paperwork
Reduction Project (7100-0003), Washington, DC 20503.

01/2022

FR 2004FC
Page 2 of 2

Settlement Cycle Report of Dealer Fails and Transaction
Volumes: Class C—Continued
Return by 4:00 p.m. the following business day to:

Person to whom questions about this report should be directed:

Statistics Function
Federal Reserve Bank of New York
33 Liberty Street
New York, NY 10045

Name of Preparer

Area Code / Phone Number

FAX: (212) 720-5030 or (646) 720-5030
Dealer Name
Comments:

“To the best of my knowledge, the report has been prepared in conformity with the instructions issued by the Federal Reserve Bank of
New York and is accurate. I am responsible for the internal controls over the reporting of the data in this report and believe that these
controls are effective. These internal controls are (1) designed to ensure the accuracy of this data, (2) monitored and reviewed by audit
or compliance staff, and (3) assessed regularly by management of the named institution. I agree to report any material deficiencies in
these internal controls and any inaccuracies in data already reported to the Federal Reserve Bank of New York.”
Note: Dealers are only required to submit a copy of this attestation with the last as-of date of each year.

Name

Title

Signature

Date (MM/DD/YYYY)

01/2015

FR 2004FM
OMB Number 7100-0003
Approval expires June 30, 2024
Page 1 of 4

Board of Governors of the Federal Reserve System

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

As of close of trading on:
Month / Day / Year

For the settlement month of:
Month

The FR 2004 reports are authorized by law (12 U.S.C. §§ 225a, 263c, 353-359, and
391). These reports are required to obtain the benefit of primary dealer status.
Individual primary dealer data are regarded as confidential under the Freedom of
Information Act and are treated as such by the Federal Reserve System. Individual
primary dealer data reported on the FR 2004 reports will not be published or otherwise

FNMA / FHLMC UMBS (Class A)
Fails to Receive
1

Dollar Amounts in Millions GSFM
1. 30-year federal agency
and GSE pass-through
MBS fails
a. <2.5% ......................
b. 2.5% ........................
c. 3.0% ........................
d. 3.5% ........................
e. 4.0% ........................
f. 4.5% ........................
g. 5.0% ........................
h. 5.5% ........................
i. 6.0% ........................
j. >6.0%.......................
2. Total (line 1) ...................

MH90
MH94
MH98
MJ02
MJ06
MJ10
MJ14
MJ18
MJ22
MJ26
MJ30

Amount

Fails to Deliver
2
GSFM

MH91
MH95
MH99
MJ03
MJ07
MJ11
MJ15
MJ19
MJ23
MJ27
MJ31

Amount

publicly disclosed. Aggregate data derived from these reports that are published or otherwise publicly disclosed will not reveal the identity of any individual primary dealer. If it
should be determined subsequently that any information collected on these reports
must be released, primary dealers will be notified. The Federal Reserve may not conduct or sponsor, and an organization is not required to respond to, a collection of information unless it displays a currently valid OMB control number.

FHLMC Non-UMBS (Class A)
Fails to Receive
3
GSFM

MH92
MH96
MJ00
MJ04
MJ08
MJ12
MJ16
MJ20
MJ24
MJ28
MJ32

Amount

Fails to Deliver
4
GSFM

MH93
MH97
MJ01
MJ05
MJ09
MJ13
MJ17
MJ21
MJ25
MJ29
MJ33

Amount

GNMA (Class C)
Fails to Receive
5
GSFM

S069
S075
S081
S087
S093
S099
S105
S111
S117
S123
S129

Amount

Fails to Deliver
6
GSFM

S070
S076
S082
S088
S094
S100
S106
S112
S118
S124
S130

Amount

1.a.
1.b.
1.c.
1.d.
1.e.
1.f.
1.g.
1.h.
1.i.
1.j.
2.

Public reporting burden for this information collection is estimated to average 1.5 hours per response, including time to gather and maintain data in the required form and to review instructions and complete the information collection. Comments regarding
this burden estimate or any other aspect of this information collection, including suggestions for reducing the burden, may be sent to Secretary, Board of Governors of the Federal Reserve System, 20th and C Streets, NW, Washington, DC 20551, and to
the Office of Management and Budget, Paperwork Reduction Project (7100-0003), Washington, DC 20503.

01/2022

FR 2004FM
Page 2 of 4

Settlement Cycle Report of Dealer Fails and Transaction Volumes—Continued
FNMA / FHLMC UMBS (Class A)
Outright
1

Dollar Amounts in Millions GSFM
3. 30-year federal agency
and GSE pass-through
MBS transaction volumes
a. <2.5% ......................
b. 2.5% ........................
c. 3.0% ........................
d. 3.5% ........................
e. 4.0% ........................
f. 4.5% ........................
g. 5.0% ........................
h. 5.5% ........................
i. 6.0% ........................
j. >6.0%.......................
4. Total (line 3) ...................

MJ34
MJ38
MJ42
MJ46
MJ50
MJ54
MJ58
MJ62
MJ66
MJ70
MJ74

Amount

GSFM

Amount

MJ35
MJ39
MJ43
MJ47
MJ51
MJ55
MJ59
MJ63
MJ67
MJ71
MJ75
FNMA / FHLMC UMBS (Class B)

Fails to Receive
1

FHLMC Non-UMBS (Class A)

Dollar Roll
2

Fails to Deliver
2

Outright
3
GSFM

MJ36
MJ40
MJ44
MJ48
MJ52
MJ56
MJ60
MJ64
MJ68
MJ72
MJ76

Amount

GSFM

Amount

MJ37
MJ41
MJ45
MJ49
MJ53
MJ57
MJ61
MJ65
MJ69
MJ73
MJ77
FHLMC Non-UMBS (Class B)

Fails to Receive
3

GNMA (Class C)

Dollar Roll
4

Outright
5
GSFM

S135
S141
S147
S153
S159
S165
S171
S177
S183
S189
S195

Amount

Dollar Roll
6
GSFM

S136
S142
S148
S154
S160
S166
S172
S178
S184
S190
S196

Amount

3.a.
3.b.
3.c.
3.d.
3.e.
3.f.
3.g.
3.h.
3.i.
3.j.
4.

Fails to Deliver
4

5. 15-year federal agency
and GSE pass-through
MBS fails
a. <2.0% ......................
b. 2.0% ........................
c. 2.5% ........................
d. 3.0% ........................
e. 3.5% ........................
f. 4.0% ........................
g. 4.5% ........................
h. 5.0% ........................
i. 5.5% ........................
j. >5.5%.......................
6. Total (line 5) ...................

MJ78
MJ82
MJ86
MJ90
MJ94
MJ98
MK02
MK06
MK10
MK14
MK18

MJ79
MJ83
MJ87
MJ91
MJ95
MJ99
MK03
MK07
MK11
MK15
MK19

MJ80
MJ84
MJ88
MJ92
MJ96
MK00
MK04
MK08
MK12
MK16
MK20

MJ81
MJ85
MJ89
MJ93
MJ97
MK01
MK05
MK09
MK13
MK17
MK21

5.a.
5.b.
5.c.
5.d.
5.e.
5.f.
5.g.
5.h.
5.i.
5.j.
6.

01/2022

FR 2004FM
Page 3 of 4

Settlement Cycle Report of Dealer Fails and Transaction Volumes—Continued
FNMA / FHLMC UMBS (Class B)
Outright
1

Dollar Amounts in Millions GSFM
7. 15-year federal agency
and GSE pass-through
MBS transaction volumes
a. <2.0% ......................
b. 2.0% ........................
c. 2.5% ........................
d. 3.0% ........................
e. 3.5% ........................
f. 4.0% ........................
g. 4.5% ........................
h. 5.0% ........................
i. 5.5% ........................
j. >5.5%.......................
8. Total (line 7) ...................

MK22
MK26
MK30
MK34
MK38
MK42
MK46
MK50
MK54
MK58
MK62

Amount

FHLMC Non-UMBS (Class B)

Dollar Roll
2
GSFM

MK23
MK27
MK31
MK35
MK39
MK43
MK47
MK51
MK55
MK59
MK63

Amount

Outright
3
GSFM

MK24
MK28
MK32
MK36
MK40
MK44
MK48
MK52
MK56
MK60
MK64

Amount

Dollar Roll
4
GSFM

MK25
MK29
MK33
MK37
MK41
MK45
MK49
MK53
MK57
MK61
MK65

Amount

7.a.
7.b.
7.c.
7.d.
7.e.
7.f.
7.g.
7.h.
7.i.
7.j.
8.

01/2022

FR 2004FM
Page 4 of 4

Settlement Cycle Report of Dealer Fails and Transaction Volumes—Continued
Return by 4:00 p.m. the following business day to:
Statistics Function
Federal Reserve Bank of New York
33 Liberty Street
New York, NY 10045
FAX: (212) 720-5030 or (646) 720-5030

Person to whom questions about this report should be directed:

Name of Preparer

Area Code / Phone Number

Dealer Name

Comments:

“To the best of my knowledge, the report has been prepared in conformity with the instructions issued by the Federal Reserve Bank of New York and is accurate. I am responsible for
the internal controls over the reporting of the data in this report and believe that these controls are effective. These internal controls are (1) designed to ensure the accuracy of this
data, (2) monitored and reviewed by audit or compliance staff, and (3) assessed regularly by management of the named institution. I agree to report any material deficiencies in
these internal controls and any inaccuracies in data already reported to the Federal Reserve Bank of New York.”
Note: Dealers are only required to submit a copy of this attestation with the last as-of date of each year.

Name

Title

Signature

Date (MM/DD/YYYY)

01/2015