Fr 2004wi

Board of Governors of the Federal Reserve System

Instructions for the Preparation of

Government Securities Dealers Reports
Reporting Form FR 2004
Effective January 2022

Contents

General Instructions for Government Securities Dealers Reports

........................................................................................................................ GEN-1
A. Organization of the Instruction Book ............................................................................................. GEN-1
B. Purpose of the FR 2004 Reports ..................................................................................................... GEN-1
C. Administrative Issues ..................................................................................................................... GEN-1
D. Who Must Report ......................................................................................................................... GEN-2
E. Submission of Reports ................................................................................................................... GEN-4
II. What to Report .............................................................................................................................. GEN-4
A. Reportable Securities ..................................................................................................................... GEN-4
B. Do not Report ............................................................................................................................... GEN-6
C. Allotments of New Securities ......................................................................................................... GEN-6
D. Underwriting of Securities ............................................................................................................. GEN-6
E. Security Buybacks ......................................................................................................................... GEN-6
F. Prime Brokerage Reporting ............................................................................................................. GEN-6
I. General Instructions

FR 2004

CONTENTS-1
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Contents

Reporting Instructions for Government Securities Dealers Reports

........................................................................................ A-1
FR 2004B—Weekly Report of Dealer Transactions ................................................................................... B-1
FR 2004C—Weekly Report of Dealer Financing and Fails ........................................................................ C-1
FR 2004SI—Weekly Report of Specific Issues .......................................................................................... SI-1
FR 2004SD—Daily Report of Specific Issues ......................................................................................... SD-1
FR 2004WI—Daily Report of Dealer Activity in Treasury Financing ....................................................... WI-1
FR 2004FA—Transaction Volumes Class A ............................................................................................ FA-1
FR 2004FB—Transaction Volumes Class B ............................................................................................ FB-1
FR 2004FC—Transaction Volumes Class C ............................................................................................ FC-1
FR 2004FM—Transaction Volumes Class A, B, and C ........................................................................... FM-1
Appendix A—Comparisons Between and Within Reports .................................................................. App-A-1
Appendix B—Reporting Differences Between and Within the FR 2004 Reports ................................... App-B-1
FR 2004A—Weekly Report of Dealer Positions

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FR 2004

Contents

Glossary

............................................................................................................................................... GL-1
Aged fail .............................................................................................................................................. GL-1
Allotment ............................................................................................................................................ GL-1
Call date .............................................................................................................................................. GL-1
Coupon passes ..................................................................................................................................... GL-1
Derivative ............................................................................................................................................ GL-1
Dollar roll ............................................................................................................................................ GL-1
Fail ...................................................................................................................................................... GL-1
Federal agency ...................................................................................................................................... GL-1
Forward contract .................................................................................................................................. GL-1
Government sponsored enterprise (GSE) ............................................................................................... GL-1
Reverse repurchase agreement (resale agreement) .................................................................................... GL-1
Reverse Inquiry .................................................................................................................................... GL-2
Settlement date ..................................................................................................................................... GL-2
Subsidiary ............................................................................................................................................ GL-2
Affiliate

FR 2004

CONTENTS-3
January 2022

INSTRUCTIONS FOR PREPARATION OF

Government Securities Dealers Reports

I. General Instructions

C. Administrative Issues

A. Organization of the Instruction Book

Authority

This instruction book covers the FR 2004 Primary
Government Securities Dealers Reports. It is divided
into the following sections:

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.

Section I (General Instructions) - The general instructions describe the overall reporting requirements.

Confidentiality

Section II (What to Report) - This section describes the
types of reportable securities.
Section III (Report Specific Instructions) - This section
describes the specific reporting requirements for each
FR 2004 report and line. These instructions and definitions supplement the information in the general
instructions.
The forms and instructions are available on the
Board’s website at: http://www.federalreserve.gov/
reportforms/.
Additional information, including the SI and WI
Guide Sheets, is also available on the Federal Reserve
Bank of New York’s (FRBNY) website: http://
www.newyorkfed.org/markets/primarydealers.html.

B. Purpose of the FR 2004 Reports
The FR 2004 reports collect weekly and daily position,
transaction, financing, and fails data of the primary
government securities dealers (primary dealers) in U.S.
government securities and other selected fixed-income
securities. These data provide critical support to the
Federal Reserve in fulfilling important responsibilities,
including monitoring technical developments in U.S.
government securities markets, conducting open market operations, and acting as fiscal agent for the U.S.
Department of the Treasury (U.S. Treasury).
FR 2004

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
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
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General Instructions

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 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
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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.

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 https://
www.newyorkfed.org/markets/primarydealers.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). A primary dealer that is a branch or agency of a foreign
banking organization should reflect the activity of the
FR 2004

General Instructions

foreign bank, not just the branch or agency that is specifically designated a primary dealer, unless otherwise
agreed to by FRBNY.

tion. Activities and balances with counterparties not
included in the consolidation described above are
external and should be reported.

Unless specified in these instructions, all activity and
balances between consolidated entities included in the
consolidation described above should be eliminated.
Positions, transactions, financing, and settlement fails
that occur between the branch or agency that is specifically designated as a primary dealer and the head office
of the foreign bank or other banking branches or agencies of the foreign banking organization ( both domestic and foreign) should be eliminated in the consolida-

Positions, transactions, financing, and fails that occur
with unconsolidated affiliates and subsidiaries are
reported as third-party transactions. Do not report
internal trades, including trades between desks or
departments.
Affiliates are companies under the control of the direct
parent of the primary dealer. The following illustrates
the FR 2004 consolidation rules.

Direct Parent
of Primary
Dealer

Company A
(Primary Dealer
Affiliate)

Trades between
consolidated and
unconsolidated entities
are reportable

Primary
Dealer

Company B
(Not Affiliate of
Primary Dealer)

These entities are
not consolidated with
the primary dealer

FR 2004

These entities
are consolidated
with the primary
dealer

Company C
(Direct Subsidiary
of Primary Dealer)

Company B
(Not Affiliate of
Primary Dealer)

Company E
(Consolidated Subsidiary
of Primary Dealer)

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General Instructions

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: https://
www.frbservices.org/central-bank/reporting-central/
index.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 646720-5030. Prior to faxing reports, please call FRBNY
Statistics Function at 212-720-7993 or 646-720-7993.
Data that are faxed to FRBNY must subsequently be
submitted via the Reporting Central system.

Report Dates and Due Dates
Report weekly data as of the close of business each
Wednesday. Data should be submitted to the Federal
Reserve Bank of New York (FRBNY) each week no
later than 4:00 p.m. (Eastern Time) Thursday (Friday if
Thursday is a holiday).
Data for the FR 2004WI should be submitted no later
than 4:00 p.m. (Eastern Time) daily during a whenissued period for the previous business day. The reporting of the FR 2004WI begins on the business day following a financing announcement for positions as of
the close of business the day of the announcement.
The last report for a when-issued period is due on the
settlement date for information as of close of business
the previous business day.
Settlement fails data from the FR 2004FA, 2004FB,
2004FC, and 2004FM should be submitted no later
than 4:00 p.m. (Eastern Time) on the next business day
following the applicable report as of date.
FR 2004SI information may be requested daily for
certain on-the-run or other securities on the
FR 2004SD report. Data for the FR 2004SD should be
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January 2022

submitted no later than 4:00 p.m. (Eastern Time) daily
for the previous business day until notified by the
FRBNY to cease reporting these data daily.

II. What to Report
Report all data in millions of dollars. Total all data for
each cell before rounding. Do not report decimals or
negative values in any cell except for those specific cells
on the forms SI, SD, and WI, (net settled position, net
outright position and net forward financing commitments) where negative values may be reported. See the
specific instructions for those forms for further details.

A. Reportable Securities
Provided below are descriptions of reportable securities by asset class. Portions of security identification
numbers issued by the Committee on Uniform Security Identification Procedures (CUSIP), known as
‘‘roots,’’ can be helpful in identifying certain reportable
securities. Refer to the specific guidelines for each particular report for additional information.

U.S. Treasury Securities (excluding TIPS)
This includes bills, notes, bonds, and Separate Trading
of Registered Interest and Principal Securities
(STRIPS), both the interest-only (IO) and principalonly (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).
FR 2004

General Instructions

Federal Agency and GSE Mortgage-Backed
Securities
This includes:
Residential Pass-Through Securities
• Residential mortgage pass-through securities backed
by an undivided interest in a pool of loans secured by
1-4 family residential properties, guaranteed by the
Government National Mortgage Association
(GNMA) or issued by the Federal National Mortgage Corporation (FNMA) or the Federal Home
Loan Mortgage Corporation (FHLMC).
Other Residential Mortgage-Backed Securities
• All classes of collateralized mortgage obligations
(CMOs) and real estate mortgage investment conduits (REMICs), CMO and REMIC residuals, and
stripped 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.
Commercial Mortgage-Backed Securities
• Commercial mortgage 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. Also include
CMBS guaranteed by the Small Business
Administration.
Non Agency Mortgage-Backed Securities
This includes:
Residential Mortgage-Backed Securities
FR 2004

• 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 nonU.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.

Corporate Securities
This includes U.S. dollar-denominated debt securities
issued by corporations incorporated in the fifty states
of the United States and the District of Columbia
including:
• bonds, notes, debentures
• commercial paper including ABS-backed commercial paper
• covered bonds
• 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 marGEN-5

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General Instructions

kets under names such as CATS, TIGRS, COUGAR, and LION.

ward financing commitments are reportable (on the
FR 2004WI)

• 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). Do
not include asset-backed commercial paper (ABCP).

B. Do not Report
Securities issued by multinational institutions, such as
the International Bank for Reconstruction and Development (IBRD/World Bank).
Securities issued by corporations incorporated in the
U.S. territories and Puerto Rico.
Securities issued by corporations incorporated outside
of the United States (i.e., foreign securities).
Shares of funds, including exchange traded funds
(ETFs), even if the fund invests in reportable securities.
Derivative contracts, with the exception of forwards
reported on the FR 2004A and the FR 2004B, and for-

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C. Allotments of New Securities
Report the position taken in a new U.S. Treasury or
MBS security allotment. Include allotments that are
awarded on a report date in that day’s positions. However, do not report any transaction with an issuer used
to book a position in a new security (whether for the
reporting entity’s own portfolio or on behalf of a
customer).
Purchases from issuers of new debt, including debt
purchased as part of an existing facility, medium term
note program or debt purchased through reverse
inquiry are excluded. Purchases from and sales to the
FRBNY are not allotments.

D. Underwriting of Securities
Report the position taken in a new issue when the
reporting entity is the underwriter or part of the underwriting syndicate. The transaction to obtain that position (whether for the reporting entity’s own portfolio
or on behalf of a customer) should not be reported.

E. Security Buybacks
Report the change in position when the buyback
settles. The settlement of a buyback should be
excluded from the FR 2004B (whether for the reporting entity’s own portfolio or on behalf of a customer).
However, purchases of securities by a reporting entity
from a customer to complete the buyback process
should be included.

F. Prime Brokerage Reporting
Transactions conducted on behalf of a prime brokerage customer with an executing dealer should be
excluded. Financing positions conducted on behalf of
a prime brokerage customer should be excluded on the
FR 2004C, FR 2004SI, and FR 2004SD. Trades in
which the customer’s prime broker is acting as principal or agent should be reported as trades with “others.”

FR 2004

INSTRUCTIONS FOR PREPARATION OF

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.

Reportable Positions
Report the following on the FR 2004A report in the
appropriate column (i.e., positive positions should be
reported as a long position and negative positions
should be reported as a short position):
• Immediate delivery and forward delivery positions
that are owned on an outright basis
• Forward contracts
• The position taken in a new U.S. Treasury, or MBS
security allotment. Include allotments that are
awarded on a report date in that day’s positions.
• The position taken in a new non-Agency or GSE
issued MBS security when the reporting entity is the
underwriter or part of the underwriting syndicate
• When-issued positions
• Dollar rolls involving To Be Announced (TBA) securities, for which the underlying security does not yet
exist (e.g., forward MBS).
FR 2004

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).
Report in the appropriate columns outright positions
in U.S. Treasury Floating Rate Notes.
Item 1c Coupons due in less than or equal to 2 years.
Report in the appropriate columns outright positions
in U.S. Treasury securities (excluding TIPS) with coupons due in less than or equal to 2 years.
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.
Item 1e Coupons due in more than 3 years but less
than or equal to 6 years.
Report in the appropriate columns outright positions
in U.S. Treasury securities (excluding TIPS) with coupons due in more than 3 years but less than or equal to
6 years.
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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 3 Federal Agency and GSE Securities (excluding
MBS)

Item 1g Coupons due in more than 7 years but less
than or equal to 11 years.
Report in the appropriate columns outright positions
in U.S. Treasury securities (excluding TIPS) with coupons due in more than 7 years but less than or equal to
11 years.

Item 3b Coupons.
Report in the appropriate columns outright positions
in federal agency and GSE coupon securities.

Item 1h Coupons due in more than 11 years but less
than or equal to 21 years.
Report in the appropriate columns outright positions
in U.S. Treasury securities (excluding TIPS) with coupons due in more than 11 years but less than or equal
to 21 years.
Item 1i Coupons due in more than 21 years.
Report in the appropriate columns outright positions
in U.S. Treasury securities (excluding TIPS) with coupons due in more than 21 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 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.
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Item 3a Discount notes.
Report in the appropriate columns outright positions
in federal agency and GSE discount notes.

Item 4 Mortgage-Backed Securities (MBS)
Item 4a Federal Agency and GSE Residential
Pass-Through MBS TBA.
Report in the appropriate columns outright positions
in federal agency and GSE residential pass- through
MBS TBA securities. Include securities guaranteed by
GNMA and issued by FNMA and FHLMC.
Item 4b Federal Agency and GSE Residential
Pass-Through MBS Specified Pool.
Report in the appropriate columns outright positions
in federal agency and GSE residential pass- through
MBS Specified Pool securities. Include securities guaranteed by GNMA and issued by FNMA and
FHLMC.
Item 4c All Other Federal Agency and GSE
Residential MBS.
Report in the appropriate columns outright positions
in other federal agency and GSE residential MBS securities. Include securities guaranteed by GNMA and
issued by FNMA and FHLMC. Include CMOs,
REMICs, and stripped MBS, such as IOs and POs.
Item 4d 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 4e 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
FR 2004

FR 2004A

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 4f 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.
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
FR 2004

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 investment
grade (BBB or better) and are due in more than five
years but in less than or equal to 10 years. Report
according to the current rating, not the rating at inception. If no public ratings are available, but internal ratings are available, the internal definitions may be used.
If several public ratings are available, the lowest of the
ratings should be used for reporting.
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
A-3

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FR 2004A

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 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 5i Below Investment Grade Bonds, Notes, and
Debentures due in more than ten 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 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 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
A-4

January 2022

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.
Item 6d State and Municipal Government Obligations
due in more than ten years.
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 6e State and Municipal Government Obligations
Variable Rate Demand Notes (VRDNs).
Report in the appropriate columns outright positions
in variable rate state and municipal government obligations of any maturity. VRDNs are floating rate obligations that have a long term maturity but have a coupon
rate that resets periodically. Also include auction rate
securities, inverse floaters, and lower floaters. Do not
report auction rate preferred securities issued by bond
funds.
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
FR 2004

FR 2004A

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.
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).

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);
• 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 next 20 IO components in line 1h
(U.S. Treasury Coupons due in more than 11 years
but less than or equal to 21 years);
• The sum of the remaining 18 IO components and the
PO component in line 1i (U.S. Treasury Coupons due
in more than 21 years).

STRIPS and other stripped securities should be categorized based on the time remaining to the payment

FR 2004

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January 2022

INSTRUCTIONS FOR PREPARATION OF

Weekly Report of Dealer Transactions
FR 2004B

Accounting Rules
Report outright transactions of fixed principal securities at principal value, excluding accrued interest. Principal value is the face value purchased or sold times the
price. For outright TIPS securities, principal value is
the original issuance par amount (unadjusted for inflation) times the price times the index ratio.
Transactions on the FR 2004B are reported using trade
date accounting.
Report on a cumulative basis for the entire report
week. Do not net purchases and sales.

Reportable Transactions
• Outright transactions and forward transactions of
fixed principal securities.
• Outright transactions and forward transactions in
Treasury Floating Rate Notes (FRNs).
• Treasury Inflation-Protected Securities (TIPS).
• Purchases of securities by a reporting entity from a
customer to complete the buyback process. However, exclude buyback offers accepted by the U.S.
Treasury, whether for the dealer’s own behalf or on
behalf of their customers.
• When-issued securities.
• Dollar rolls involving To Be Announced (TBA)
securities, for which the underlying security does not
yet exist (e.g., forward MBS).
• Transactions executed through electronic trading
platforms for the reporting dealer’s own accounts.
However, do not report transactions executed to
settle trades for electronic trading platforms, where
the reporter does not take a position.
FR 2004

Counterparty Categories
Column 1 With Inter-Dealer Brokers
A listing of inter-dealer brokers are listed in the Fixed
Income Clearing Corporation’s (FICC) government
securities division and mortgage-backed securities division member directories. The directory can be obtained
from:
http://www.dtcc.com/customer/directories/ficc/
ficc_gov.php
http://www.dtcc.com/customer/directories/ficc/
ficc_mbs.php
• Brokers with an asterisk next to their name are 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 counterparties when dealing with inter-dealer brokers not specified on the FICC membership directories to identify
affiliate firms designated as inter-dealer brokers that
provide clearing services for the counterparty as well
as inter-dealer brokers that are not FICC members.
Include trades with these institutions in column 1 on
the FR 2004B.
• Trades made through inter-dealer brokers where the
counterparty is revealed after the conclusion of the
trade (give-up trades) should continue to be reported
as transactions with inter-dealer brokers and not as
transactions with others.
Column 2 With Other Counterparties
Include transactions with primary dealers, the
FRBNY (including all open market operations), and
all counterparties other than those included in column 1.
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FR 2004B

Line-by-Line Instructions
For each item, report transactions with inter-dealer
brokers in column 1 and transactions with others in
column 2. For further description on reportable securities see Section II. A “What to Report - Reportable
Securities.”

Line Caption and Instructions
Item 1 U.S. Treasury Securities (excluding TIPS)
Item 1a Bills.
Report in the appropriate columns transactions in U.S.
Treasury Bills.
Item 1b Floating Rate Notes.
Report in the appropriate columns transactions in U.S.
Treasury floating rate notes.
Item 1c Coupons due in less than or equal to 2 years.
Report in the appropriate columns transactions in U.S.
Treasury securities (excluding TIPS) with coupons due
in less than or equal to 2 years.
Item 1d Coupons due in more than 2 years but less
than or equal to 3 years.
Report in the appropriate columns transactions in U.S.
Treasury securities (excluding TIPS) with coupons due
in more than 2 years but less than or equal to 3 years.
Item 1e Coupons due in more than 3 years but less
than or equal to 6 years.
Report in the appropriate columns transactions in U.S.
Treasury securities (excluding TIPS) with coupons due
in more than 3 years but less than or equal to 6 years.
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.
Item 1g Coupons due in more than 7 years but less
than or equal to 11 years.
Report in the appropriate columns transactions in U.S.
Treasury securities (excluding TIPS) with coupons due
in more than 7 years but less than or equal to 11 years.
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January 2022

Item 1h Coupons due in more than 11 years but less
than or equal to 21 years.
Report in the appropriate columns transactions in U.S.
Treasury securities (excluding TIPS) with coupons due
in more than 11 years but less than or equal to 21 years.
Item 1i Coupons due in more than 21 years.
Report in the appropriate columns transactions in U.S.
Treasury securities (excluding TIPS) with coupons due
in more than 21 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 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.
Item 2d TIPS due in more than 11 years.
Report in the appropriate columns transactions 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 transactions in federal agency and GSE discount notes.
Item 3b Coupons.
Report in the appropriate columns transactions in federal agency and GSE coupon securities.
FR 2004

FR 2004B

Item 4 Mortgage-Backed Securities
Item 4a Federal Agency and GSE Residential
Pass-Through MBS TBA Cash transactions.
Report in the appropriate columns MBS TBA cash
transactions as well as other transactions not reported
separately in Line 4b in MBS TBA pass-through
securities.
Item 4b Federal Agency and GSE Residential
Pass-Through MBS TBA Dollar roll transactions.
Report in the appropriate columns dollar roll transactions in Federal Agency and GSE Pass-through MBS
TBA 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 Federal Agency and GSE Residential
Pass-Through MBS Specified Pool Cash transactions.
Report in the appropriate columns MBS Specified
Pool cash transactions as well as other transactions not
reported separately in Line 4d in MBS Specified Pool
pass-through securities.
Item 4d Federal Agency and GSE Residential
Pass-Through MBS Specified Pool Dollar roll
transactions.
Report in the appropriate columns dollar roll transactions in Federal Agency and GSE Pass-through MBS
Specified Pool 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 4e 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 4f Federal Agency and GSE CMBS.
Report in the appropriate columns transactions in federal agency and GSE commercial MBS securities.
Include securities guaranteed by GNMA and issued by
FR 2004

FNMA and FHLMC. Also include CMBS guaranteed
by the Small Business Administration.
Item 4g Non-Agency Residential MBS.
Report in the appropriate columns transactions in residential MBS securities that have been issued by nonU.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 4h Other Commercial MBS.
Report in the appropriate columns transactions in
commercial MBS securities that have been issued or
guaranteed by non-U.S. Government issuers (e.g.,
other depository institutions, insurance companies,
state and local housing authorities in the U.S.). Include
CMOs, REMICS, and stripped MBS, such as IOs
and POs.
Item 5 Corporate Securities
Item 5a Commercial Paper.
Report in the appropriate columns transactions in dollar denominated commercial paper including unsecured and asset-backed commercial paper (ABCP)
issued by U.S. entities. Do not include commercial
paper issued by states and political subdivisions in the
U.S. (report those items in Item 6).
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 equipB-3

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FR 2004B

ment 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 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 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 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.
Item 5e Investment Grade Bonds, Notes, and
Debentures due in more than 10 years.
Report in the appropriate columns transactions in dollar denominated bonds, notes, debentures and equipment trust certificates that are rated investment grade
(BBB or better) and are due in more than 10 years.
Report according to the current ratings, not the ratings
issued at inception. If no public ratings are available,
but internal ratings are available, the internal definitions may be used. If several public ratings are available, the lowest of the ratings should be used for
reporting.
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.
B-4

January 2022

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 (BB+ or lower) that are due in more than five
years but in less than or equal to 10 years.
Report according to the current ratings, not the ratings
issued at inception. If no public ratings are available,
but internal ratings are available, the internal definitions may be used. If several public ratings are available, the lowest of the ratings should be used for
reporting.
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 definiFR 2004

FR 2004B

tions 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.
Item 6d State and Municipal Government Obligations
due in more than 10 years.
Report in the appropriate columns transactions in state
and municipal government obligations due in more
than 10 years. Include taxable municipal obligations.
Do not include transactions reported on Line 6e.
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.
FR 2004

Item 7 Asset-Backed Securities
Item 7a Credit Card-Backed Securities.
Report in the appropriate columns transactions in
asset-backed securities collateralized predominantly by
credit card receivables, i.e., extensions of credit to individuals for household, family, and other personal
expenditures arising from credit cards.
Item 7b Student Loan-Backed Securities.
Report in the appropriate columns transactions in
asset-backed securities collateralized predominantly by
student loans.
Item 7c Automobile Loan-Backed Securities.
Report in the appropriate columns transactions in
asset-backed securities collateralized predominantly by
auto-mobile 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 transactions in
asset-backed securities collateralized predominantly by
loans other than those listed in 7a-7c including CLOs.
Do not include MBS.
Item 8 Total (Lines 1 through 7)
Maturity Classifications
Report U.S. Treasury, Corporate, State and Municipal
securities in the appropriate maturity classification row
on the FR 2004B based on remaining maturity. As the
remaining maturity decreases, the security is shifted
from one maturity classification to another. If the shift
occurs on a Wednesday, categorize the security in the
new maturity classification row on that Wednesday’s
report.
When-issued securities should be categorized based on
the time remaining to maturity calculated from the
issue date (e.g., a when-issued, 2-year U.S. Treasury
note should be reported in line 1b, U.S. Treasury Securities: Coupons due in less than or equal to 2 years).
STRIPS and other stripped securities should be categorized based on the time remaining to the payment
date for each IO component, and to the redemption
B-5

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FR 2004B

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);
• 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);

B-6

January 2022

• The sum of the next 20 IO components in line 1h
(U.S. Treasury Coupons due in more than 11 years
but less than or equal to 21 years);
• The sum of the remaining 18 IO components and the
PO component in line 1i (U.S. Treasury Coupons due
in more than 21 years).

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

FR 2004

INSTRUCTIONS FOR PREPARATION OF

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:
• U.S. Treasury Securities including TIPS, STRIPS,
and Floating Rate Notes (FRNs).
• Federal Agency and GSE Securities (excluding MBS)
• Federal Agency and GSE Residential and Commercial MBS
• Corporate Debt including commercial paper
• Asset-backed Securities
• Equities
• All Other dollar denominated, debt instruments used
as collateral including non-Agency or GSE-issued
MBS, CMOs, REMICS, and State and Municipal
securities. 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.
FR 2004

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

Types of Financing
Sections 1–3: Repurchase and Reverse
Repurchase Agreements
Line-by-Line Instructions
For each item, report repurchase and reverse repurchase agreements in columns 1–21 classified by the
C-1

January 2022

FR 2004C

clearing/settlement arrangement for each transaction.
For bilateral repurchase and reverse repurchase agreements, dealers are instructed to report specific and general transactions separately. Specific transactions are
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. General transactions are
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.
Columns 1–6 Uncleared bilateral. An uncleared bilateral financing arrangement is conducted outside any
central clearing firm or platform. The counterparties
to the transaction are responsible for the exchange of
securities and funds. Report specific, uncleared bilateral repurchase and reverse repurchase agreements in
columns 1, 2, and 3 and general, uncleared bilateral
repurchase and reverse repurchase agreements in column 4, 5, and 6.
Columns 7–15 Cleared bilateral. A cleared bilateral
financing arrangement is negotiated between two
counterparties and then subsequently submitted to a
central clearing bank or platform for settlement (e.g.,
FICC DVP). Report specific, cleared bilateral repurchase and reverse repurchase agreements in columns 7–9 and general, cleared bilateral repurchase and
reverse repurchase agreements in columns 10–12. Bilateral repurchase and reverse repurchase agreements
submitted by a primary dealer to FICC DVP as a sponsored transaction for clients should be separately
reported in columns 13–15.
Columns 16–18 GCF Repo Service. Report repurchase
and reverse repurchase agreements that are centrallycleared using the FICC GCF Repo Service.
Columns 19–21 Tri Party Repo. Report repurchase and
reverse repurchase agreements that are transacted and
administered through a central triparty agent bank
that serves as intermediary to the transactions. Exclude
GCF transactions reported in columns 16–18.
For each item, report repurchase and reverse repurchase agreements in columns 1–21 according to the
contract term as follows:
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January 2022

• Columns 1, 4, 7, 10, 13, 16, 19 Overnight and Continuing. An overnight financing agreement is an agreement that settles on one business day and matures on
the next business day. A continuing contract agreement is an agreement that remains in effect for more
than one business day, but has no specific maturity
and can be terminated on demand by either the borrower or the lender.
• Columns 2, 5, 8, 11, 14, 17, 20 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.
• Columns 3, 6, 9, 12, 15, 18, 21 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
Item 1a Repurchase Agreements U.S. Treasury
Securities (excluding TIPS).
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 matched sale-purchase
agreements, or any form of synthetic equivalents.
Item 1b Repurchase Agreements U.S. Treasury
Inflation-Protected Securities (TIPS).
Report repurchase agreements where the collateral
provided to the lender is U.S. TIPS, including those
with the FRBNY. Include matched sale-purchase
agreements, or any form of synthetic equivalents.
Item 1c Repurchase Agreements Federal Agency and
GSE Securities (excluding MBS).
Report repurchase agreements where the collateral
provided to the lender are U.S. Agency and GSE
debentures, including those with the FRBNY. Include
matched sale-purchase agreements, or any form of
synthetic equivalents.
Item 1d Repurchase Agreements Federal Agency and
GSE Residential MBS Securities.
Report repurchase agreements where the collateral
provided to the lender are U.S. Agency and GSE Residential MBS securities, including those with the
FR 2004

FR 2004C

FRBNY. Include dollar repurchase agreements,
matched sale-purchase agreements, or any form of
synthetic equivalents.

including those with the FRBNY. Include matched
sale-purchase agreements, or any form of synthetic
equivalents.

Item 1e Repurchase Agreements Federal Agency and
GSE Commercial MBS Securities.
Report repurchase agreements where the collateral
provided to the lender are U.S. Agency and GSE Commercial MBS securities, including those with the
FRBNY. 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 by the borrower is U.S. TIPS, including
those with the FRBNY. Include matched sale-purchase
agreements, or any form of synthetic equivalents.

Item 1f 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 matched sale-purchase agreements, or any form of synthetic equivalents.
Item 1g Repurchase Agreements Asset-backed
Securities.
Report repurchase agreements where the collateral
provided to the lender is dollar denominated Assetbacked securities as defined for these forms, including
those with the FRBNY. Include matched sale-purchase
agreements, or any form of synthetic equivalents.
Item 1h Repurchase Agreements Equities.
Report repurchase agreements where the collateral
provided to the lender is dollar denominated equities,
including those with the FRBNY. Include matched
sale-purchase agreements, or any form of synthetic
equivalents.
Item 1i Repurchase Agreements Other Collateral.
Report repurchase agreements where the collateral
provided to the lender is other dollar denominated collateral as specified above, including those with the
FRBNY. Include matched sale-purchase agreements,
or any form of synthetic equivalents.

2 Reverse Repurchase Agreements
Item 2a Reverse Repurchase Agreements U.S. Treasury
Securities (excluding TIPS).
Report reverse repurchase agreements where the collateral provided by the borrower is U.S. Treasury bills,
coupon securities, and Floating Rate Notes (FRNs),
FR 2004

Item 2c Reverse Repurchase Agreements Federal
Agency and GSE Securities (excluding MBS).
Report reverse repurchase agreements where the collateral provided by the borrower are U.S. Agency and
GSE debentures, including those with the FRBNY.
Include matched sale purchase agreements, or any
form of synthetic equivalents.
Item 2d Reverse Repurchase Agreements Federal
Agency and GSE Residential MBS Securities.
Report reverse repurchase agreements where the collateral provided by the borrower is U.S. Agency and GSE
Residential MBS securities, including those with the
FRBNY. Include dollar repurchase agreements,
matched sale-purchase agreements, or any form of
synthetic equivalents.
Item 2e Reverse Repurchase Agreements Federal
Agency and GSE Commercial MBS Securities.
Report reverse repurchase agreements where the collateral provided by the borrower is U.S. Agency and GSE
Commercial MBS securities, including those with the
FRBNY. Include dollar repurchase agreements,
matched sale-purchase agreements, or any form of
synthetic equivalents.
Item 2f Reverse Repurchase Agreements
Corporate Debt.
Report reverse repurchase agreements where the collateral provided by the borrower is dollar denominated
corporate debt as defined for these forms, including
those with the FRBNY. Include matched sale-purchase
agreements, or any form of synthetic equivalents.
Item 2g Reverse Repurchase Agreements Asset-backed
Securities.
Report reverse repurchase agreements where the collateral provided by the borrower is dollar denominated
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FR 2004C

asset-backed securities as defined for these forms,
including those with the FRBNY. Include matched
sale-purchase agreements, or any form of synthetic
equivalents.
Item 2h Reverse Repurchase Agreements Equities.
Report reverse repurchase agreements where the collateral provided by the borrower is dollar denominated
equities, including those with the FRBNY. Include
matched sale-purchase agreements, or any form of
synthetic equivalents.
Item 2i Reverse Repurchase Agreements Other
Collateral.
Report reverse repurchase agreements where the collateral provided by the borrower is other dollar denominated collateral as specified above, including those with
the FRBNY. Include matched sale-purchase agreements, or any form of synthetic equivalents.
Item 3 Total.
Report the sum of items 1–2.

Sections 4–6: Other Financing Activity
Securities Lent/Securities Borrowed
Line-by-Line Instructions
For each item, report other financing activity in columns 1–3 according to the contract term as follows:
• Column 1 Overnight and Continuing. An overnight
financing agreement is an agreement that settles on
one business day and matures on the next business
day. A continuing contract agreement is an agreement that remains in effect for more than one business day, but has no specific maturity and can be terminated on demand by either the borrower or the
lender.
• Column 2 Term Agreements (less than 30 days). A
term agreement with an original fixed maturity of
more than one day but less than 30 days that is not a
continuing contract.
• Column 3 Term Agreements (30 days or greater). A
term agreement with an original fixed maturity of
more than 30 days that is not a continuing contract.
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January 2022

Item 4 Other Financing Activity-Securities Lent
Item 4a 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 4b 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.
Item 4c 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 4d Other Financing Activity-Securities Lent
U.S. Federal Agency and GSE Residential MBS.
Report other securities financing activities where the
collateral provided to the lender is U.S. Agency and
GSE Residential 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 4e Other Financing Activity-Securities Lent
U.S. Federal Agency and GSE Commercial MBS.
Report other securities financing activities where the
collateral provided to the lender is U.S. Agency and
FR 2004

FR 2004C

GSE Commercial 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 4f 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 4g 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 4h Other Financing Activity-Securities Lent
U.S. Equities.
Report other securities financing activities where the
collateral provided to the lender is dollar denominated
U.S. equities, including those with the FRBNY.
Include stocks lent for cash, stocks pledged by the
reporting entity to secure a borrowing of other securities, and other forms of collateralized financing loans.
Item 4i 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.
FR 2004

Item 5 Other Financing Activity-Securities-Securities
Borrowed
Item 5a 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 5b 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 5c Other Financing Activity-Securities Borrowed
U.S. Federal Agency and GSE Securities
(excluding MBS).
Report other securities financing activities where the
collateral provided to the borrower is U.S. Agency and
GSE debentures, including those with the FRBNY.
Include securities borrowed for cash, securities
received as a pledge by the reporting entity to secure a
loan of other securities, and other forms of collateralized financing agreements, including cash lent from a
collateralized loan.
Item 5d Other Financing Activity-Securities Borrowed
U.S. Federal Agency and GSE Residential MBS.
Report other securities financing activities where the
collateral provided to the borrower is U.S. Agency and
GSE Residential 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.
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FR 2004C

Item 5e Other Financing Activity-Securities Borrowed
U.S. Federal Agency and GSE Commercial MBS.
Report other securities financing activities where the
collateral provided to the borrower is U.S. Agency and
GSE Commercial 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 5f 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.

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 6 Total.
Report the sum of items 4–5.

Aggregate Settlement Fails
Item 7 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 7a 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 5g 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 7b 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 5h 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.

Item 7d Federal Agency and GSE MBS.
Report in the appropriate columns fails to receive and
fails to deliver federal agency and GSE MBS.

Item 5i Other Financing Activity-Securities Borrowed
Other Collateral.
Report other securities financing activities where the
collateral provided to the borrower is other dollar
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January 2022

Item 7c 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 7e Other MBS.
Report in the appropriate columns fails to receive and
fails to deliver of non-Agency and GSE MBS.
Item 7f Corporate Securities.
Report in the appropriate columns fails to receive and
fails to deliver corporate securities.
Item 8 Total.
Report the sum of lines 7a–7f.

FR 2004

INSTRUCTIONS FOR PREPARATION OF

Weekly Report of Specific Issues
FR 2004SI

Accounting Rules
Report position and transaction data on the
FR 2004SI at the original issuance par amount. Positions on the FR 2004SI are reported using settlement
date accounting. Long and short positions in the same
issue should be reported net by CUSIP, therefore, a
negative value can be reported in column 4 (net settled
position).
However, transactions reported on the FR 2004SI are
reported using trade date accounting. Report on a
cumulative basis. Do not net purchases and sales.
Report financing data, including security vs. security
exchanges, at the original issuance par amount of the
collateral. Report financing that is outstanding as-of
the report date using trade date accounting. Report on
a gross basis FIN 41 does not apply to this report).

Sheet, which is available on the FRBNY website at:
http://www.newyorkfed.org/markets/primary
dealers.html.

Row Definitions
Submit the securities on the FR 2004 SI in the same
order each week. Fixed principal securities should be
listed first in ascending maturity order followed by the
TIPS securities, also in ascending order. Based on the
U.S. Treasury’s current offering schedule, the reported
securities are:
• Line #1—2-year U.S. Treasury note
• Line #2—3-year U.S. Treasury note
• Line #3—5-year U.S. Treasury note
• Line #4—7-year U.S. Treasury note

Reportable Securities
Report position, transaction, financing, and fails data
for the most recently issued (i.e., on-the-run) U.S.
Treasury securities, including Floating Rate Notes
(FRNs) and TIPS, for each maturity classification on
the FR 2004SI. Once a when-issued security has been
issued, it replaces the security with the same maturity
classification on the FR 2004SI and the security stops
being reported on the FR 2004 WI. For example, a
2-year U.S. Treasury note that has been issued is no
longer reported on the FR 2004WI and begins to be
reported on the FR 2004SI as of close of business the
first Wednesday after its issuance. This 2-year U.S.
Treasury note will continue to be reported on the
FR 2004SI until a 2-year U.S. Treasury note is newly
issued or re-opened by the U.S. Treasury.
The current list of securities reported on the
FR 2004SI is maintained on the FR 2004SI Guide
FR 2004

• Line #5—10-year U.S. Treasury note
• Line #6—20-year U.S. Treasury bond
• Line #7—30-year U.S. Treasury bond
• Line #8—5-year TIPS note
• Line #9—10-year TIPS note
• Line #10—30-year TIPS bond
• Line #11—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.
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FR 2004SI

Columns 2 through 3 Outright Cumulative
Transactions
Report data using trade date accounting at the original
issuance par amount. Report gross outright purchases
and sales on a cumulative basis for each reportable
security for the business days since the previous report
(Thursday through Wednesday). Do not net purchases
and sales. Exclude forward transactions.
When a new issue is added to the report, include the
cumulative transactions in that issue since the closing
date of the previous FR 2004SI, even though some of
these transactions may have been reported on the
FR 2004WI. Except for holiday weeks, you should
report five days of transactions for each issue on the
FR 2004SI.
For example, if a new 5-year U.S. Treasury note is
issued on Tuesday, report the transactions in that issue
for the full Thursday through Wednesday reporting
period, even though the transactions on Thursday
through Monday were already reported on the
FR 2004WI.
When a re-opened security is added to the report,
include the cumulative transactions in that security
since its issue date plus the cumulative transactions in
the originally issued security since the closing date of
the previous FR 2004SI. Therefore, transactions
reported on the FR 2004WI for the re-opened security
will not be reported on the FR 2004SI.
For example, if a re-opened 10-year U.S. Treasury note
is issued on Monday, report the transactions in that
issue on Monday through Wednesday and add to it the
transactions in the originally issued 10-year U.S. Treasury note on Thursday and Friday.

Column 4 Net Settled Positions
Report data using settlement date accounting valued at
the original issuance par amount. Long and short positions in the same issue should be reported net by
CUSIP; therefore, a negative value can be reported in
this column. Report a trade arranged for settlement on
or before the closing date of the report as settled, even
if a fail occurs. If such a trade fails to clear, report it as
a fail and report it as part of the net settled position.
Exclude positions in forward contracts.
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January 2022

Columns 5 through 12 Gross Financing
Report data, including when only securities are
exchanged, using trade date accounting at the original
issuance par amount of the collateral. Report on a
gross basis; do not net borrowings against loans even if
the counterparty, term, and security are identical
(FIN 41 does not apply to this report).

Types of Financing
Columns 5 through 8 Securities In
Report contractual arrangements or the pledge of
securities to be received from counterparties. Report
the following on the FR 2004SI:
• Reverse repurchase agreements including those with
the FRBNY. Include tri-party reverse repurchase
agreements, GCF, bilateral, and HIC agreements.
Include dollar reverse repurchase agreements,
matched sale-purchase agreements, or any form of
synthetic equivalents.
• Securities borrowed, which are contractual agreements in which securities are borrowed from counterparties, including a Federal Reserve Bank. Report
the funds that have been lent. If only securities are
exchanged, report the fair (market) value of the
securities.
• Securities received as pledge, which are securities that
were received by the reporting entity as a pledge
against a loan of securities. Report the fair (market)
value of the securities.
• Collateral received from counterparties as a result of
a margin payment, margin call or other type of similar collateral deposit, or collateral held for another
financial contract (e.g., derivatives).

Columns 9 through 12 Securities Out
Report contractual arrangements or the pledge of
securities to be delivered to counterparties. Report the
following on the FR 2004SI.
• Repurchase agreements including those with the
FRBNY. Include tri-party repurchase agreements,
GCF, bilateral, and HIC agreements.
FR 2004

FR 2004SI

Include dollar repurchase agreements, matched salepurchase agreements, or any form of synthetic
equivalents.
• Securities lent, which are contractual agreements in
which securities are lent to counterparties, including
a Federal Reserve Bank. Report the funds that have
been borrowed. If only securities are exchanged,
report the fair (market) value of the securities.
• Securities pledged, which are securities that were
pledged by the reporting entity to secure a borrowing
of securities. Report the fair (market) value of the
securities.
• Collateralized loans, which are the reporting entity’s
cash borrowings that have been secured by securities.
Report the cash received from a loan.
• Collateral delivered to counterparties (e.g., a clearing
corporation) as a result of a margin payment, margin
call or other type of similar collateral deposit, or collateral sent for another financial contract (e.g.,
derivatives).

Columns 5, 7, 9, 11 Overnight/Continuing
Report as “overnight and continuing,” financing
agreements. An overnight financing agreement is an
agreement that settles on one business day and matures
on the next business day. A continuing contract agreement is an agreement that remains in effect for more
than one business day, but has no specific maturity and
can be terminated by either the borrower or the lender.

Columns 6, 8, 10, 12 Term
Report as “term” financing agreements. A term agreement is an agreement with an original fixed maturity of
more than one business day that is not a continuing
contract.

Columns 13 and 14 Fails
Report data at the original issuance par amount of the
collateral. Do not report on a cumulative basis. Report
failed transactions and failed financing transactions
that occurred on the as-of date only.

Column 15 FRBNY Security ID
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.

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.
FR 2004

• Line #2–3
• Line #3–5
• Line #4–7
• Line #5–10
• Line #6–20
• Line #7–30
• Line #8–55 (derived by adding 50 to 5)
• Line #9–60 (derived by adding 50 to 10)
• Line #10–80 (derived by adding 50 to 30)
• Line #11–102
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FR 2004SI

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

Line Caption and Instructions
Item 1 2-year U.S. Treasury note.
Report in the appropriate columns security information, cumulative outright transactions, net settled position, gross financing, fails data, and the FRBNY security ID for the on-the-run 2-year U.S. Treasury note.
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.

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January 2022

Item 6 20-year U.S. Treasury bond.
Report in the appropriate columns security information, cumulative outright transactions, net settled position, gross financing, fails data, and the FRBNY security ID for the on-the-run 20-year U.S. Treasury bond.
Item 7 30-year U.S. Treasury bond.
Report in the appropriate columns security information, cumulative outright transactions, net settled position, gross financing, fails data, and the FRBNY security ID for the on-the-run 30-year U.S. Treasury bond.
Item 8 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 9 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.
Item10 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 11 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 11.

FR 2004

INSTRUCTIONS FOR PREPARATION OF

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.

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.

Report financing that is outstanding as-of the report
date using trade date accounting.

Supplemental Information

Report on a gross basis; do not net borrowings against
loans (FIN 41 does not apply to this report).

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.

Reportable Securities
Report position, transaction, financing, and fails data
on a daily basis for requested securities specified by the
FRBNY on the FR 2004SD. These data are reported
daily on demand until notification is received from the
FRBNY to cease daily reporting. Once these data are
requested, the FR 2004SD Guide Sheet is available at:
http://www.newyorkfed.org/markets/primarydealers.html.

FR 2004

These data are reported daily on demand basis until
notification is received from the FRBNY to cease daily
reporting.

SD-1

January 2022

INSTRUCTIONS FOR PREPARATION OF

Daily Report of Dealer Activity in
Treasury Financing
FR 2004WI

Accounting Rules
Report position data at the original issuance par
amount. Positions are reported using trade date
accounting. Long and short positions should be
reported net; therefore, a negative value can be
reported in column 2 (net outright positions) of the
FR 2004WI.
For each new and re-opened U.S. Treasury security
offered for sale but not yet issued, report the net outright position, net forward financing commitments
and cumulative outright transactions. Report daily
during the when-issued trading period, which is the
time between the announcement and date of issue
(settlement date). The first FR 2004WI is due on the
business day following a financing announcement, for
positions as of the close of business the day of the
announcement. The last report is due on the settlement
date for information as of close of business the previous business day.
Announcement information can be obtained from:
http://www.treasurydirect.gov/instit/annceresult/press/
press.htm. The current list of securities to be reported
on the FR 2004WI is maintained on the FR 2004WI
Guide Sheet, which can be obtained from: http://
www.newyorkfed.org/markets/primarydealers.html.

No Activity
If a reporting entity does not have any when-issued
activity, a report must be submitted reflecting zero
data.

Re-Opened Security
Report net outright positions, net forward financing
commitments, and cumulative outright transactions on
both the previously issued security and the whenFR 2004

issued security as of close of business the prior day. If
there is an existing position for the previously issued
security in inventory, this position should be included
in the net outright position column on day 1.

Column 1 Security
Report the description of each note and bond that the
U.S. Treasury has offered for sale but has not yet
issued. Include the coupon (when known) (use spread
instead of coupon for FRNs) and maturity date in
yyyymmdd format. For a new issue, the coupon is
available on the auction date of the security. For a
re-opened issue, the coupon is available at the time of
the offering.

Column 2 Net Outright Positions
Report net outright positions in the when-issued security and the outstanding security if the U.S. Treasury
has re-opened an issue. Include positions for whenissued 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
WI-1

January 2022

FR 2004WI

on a date after the report date. For example, an agreement to finance at issuance. Report any forward
financing commitments involving a re-opened or new
when-issued security even if no outright position is
held. When the U.S. Treasury re-opens an issue, report
the net forward financing commitments for both the
security being traded as a when-issue security and for
the security being traded on-the-run. Long and short
positions should be reported net by security, therefore,
a negative value can be reported in column 3 (net forward financing commitments) of the FR 2004WI.
A repurchase agreement or commitment to lend the
security should be considered a short position. A
reverse repurchase agreement or commitment to borrow securities should be considered a long position.
Exclude reporting entity allotments and customer
awards (securities received from bids placed on behalf
of a customer by a reporting entity).

Column 4 and 5 Cumulative Outright
Transactions
Report gross purchases and sales in the appropriate
column. Include transactions in the outstanding security if the U.S. Treasury has re-opened a security.
Report only the transactions executed on the reporting
date. Do not report cumulative transactions across
reporting dates. Do not net purchases and sales.

WI-2

January 2022

Report transactions for any delivery date. Include
immediate, forward and when-issued transactions.
Exclude reporting entity allotments and customer
awards (securities received from bids placed on behalf
of a customer by a reporting entity).

Line-by-Line Instructions
For each item, report security information in column 1,
net outright positions in column 2, net forward financing commitments in column 3, and cumulative outright
transactions in columns 4 and 5.

Caption and Instructions
Item 1–10 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 10.

FR 2004

INSTRUCTIONS FOR PREPARATION OF

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/.

FNMA, FNMA UMBS, and FHLMC UMBS fails to
deliver in column 2. Report FHLMC (Non-UMBS)
fails to receive in column 3 and FHLMC (NonUMBS) fails to deliver in column 4.
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.

No Activity

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

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

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

FR 2004 FA-Class A Settlement Fails
Line-by-Line Instructions
Settlement Fails
Report outstanding settlement fails at close of business
on the Class A settlement date for 30-year FNMA
(FNCL), 30-year FHLMC (FGLMC), and 30-year
Uniform Mortgage-Backed Securities (UMBS) issued
by either FNMA or FHLMC for coupons listed below.
For each item, report FNMA, FNMA UMBS, and
FHLMC UMBS fails to receive in column 1 and
FR 2004

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

January 2022

FR 2004FA

Transaction Volumes
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, 30-year FHLMC, and 30-year UMBS
issued by either FNMA or 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, FNMA UMBS, and FHLMC
UMBS outright transactions in column 1 and FNMA,
FNMA UMBS, and FHLMC UMBS dollar rolls in
column 2. Report FHLMC (Non-UMBS) outright
transactions in column 3 and FHLMC (Non-UMBS)
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.

FA-2

January 2022

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 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.

FR 2004

INSTRUCTIONS FOR PREPARATION OF

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.

column 1 and FNMA, FNMA UMBS, and FHLMC
UMBS fails to deliver in column 2. Report FHLMC
(Non-UMBS ) fails to receive in column 3 and
FHLMC (Non-UMBS ) fails to deliver in column 4.
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.

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 1e Report fails to receive and fails to deliver in the
appropriate columns for 3.5% coupons.

No Activity

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

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

FR 2004 FB-Class B Settlement Fails
Line-by-Line Instructions
Settlement Fails
Report outstanding settlement fails at close of business
on the Class B settlement date for 15-year FNMA
(FNCI), 15-year FHLMC (FGCI), and 15-year Uniform Mortgage-Backed securities (UMBS) issued by
either FNMA or FHLMC for coupons listed below.
For each item, report FNMA non-UMBS eligible,
FNMA UMBS, and FHLMC UMBS fails to receive in
FR 2004

Item 1f Report fails to receive and fails to deliver in the
appropriate columns for 4.0% 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.
Item 1j Report fails to receive and fails to deliver in the
appropriate columns for coupons greater than 5.5%.
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 counterparFB-1

January 2022

FR 2004FB

ties for Class B settlement in the reporting month for
15-year FNMA, 15-year FHLMC, and 15-year UMBS
issued by either FNMA or 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, FNMA UMBS, and FHLMC
UMBS outright transactions in column 1 and FNMA,
FNMA UMBS, and FHLMC UMBS dollar rolls in
column 2. Report FHLMC (Non-UMBS) outright
transactions in column 3 and FHLMC (Non-UMBS)
dollar rolls in column 4.

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

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

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

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

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

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

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

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

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

FB-2

January 2022

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

FR 2004

INSTRUCTIONS FOR PREPARATION OF

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 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
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.
FR 2004

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%.
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
FC-1

January 2022

FR 2004FC

outright transactions. For each item, report GNMA
outright transactions in column 1 and GNMA dollar
rolls in column 2.

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

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

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

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

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

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

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

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

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

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

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

FC-2

January 2022

FR 2004

INSTRUCTIONS FOR PREPARATION OF

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

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/.

FHLMC fails to receive in column 1 and 30-year
FNMA and 30-year UMBS issued by either FNMA or
FHLMC fails to deliver in column 2. Report 30-year
FHLMC non UMBS eligible fails to receive in column 3 and 30-year FHLMC non UMBS eligible 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.
30 Year MBS
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.

No Activity

Item 1e Report fails to receive and fails to deliver in the
appropriate columns for 4.0% coupons.

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

Item 1f Report fails to receive and fails to deliver in the
appropriate columns for 4.5% 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 30-year FHLMC, 30-year UMBS issued by
either FNMA or FHLMC, and 30-year GNMA for
coupons listed below. For each item, report 30-year
FNMA and 30-year UMBS issued by either FNMA or
FR 2004

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

January 2022

FR 2004FM

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, 30-year
UMBS issued by either FNMA or FHLMC, and
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 FNMA,
FNMA UMBS, and FHLMC UMBS outright transactions in column 1 and FNMA, FNMA UMBS, and
FHLMC UMBS dollar rolls in column 2. Report
FHLMC non eligible UMBS outright transactions in
column 3 and FHLMC non-UMBS dollar rolls in column 4. Report GNMA outright transactions in column 5 and GNMA dollar rolls in column 6.
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.

FM-2

January 2022

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.

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), 15-year FHLMC (FGCI), and
15-year UMBS issued by either FNMA or FHLMC
for coupons listed below. For each item, report 15-year
FNMA, FNMA UMBS, and FHLMC UMBS fails to
receive in column 1 and 15-year FNMA, FNMA
UMBS, and FHLMC UMBS fails to deliver in column 2. Report 15-year FHLMC (Non-UMBS) fails to
receive in column 3 and 15-year FHLMC (NonUMBS) fails to deliver in column 4.
Item 15 Year MBS
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.

FR 2004

FR 2004FM

Item 5f Report fails to receive and fails to deliver in the
appropriate columns for 4.0% coupons.

Item 7d Report cumulative MBS TBA and Pool
Transactions in the appropriate columns for
3.0% 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 6 Total.
Report the total of rows 5a–5j.

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

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

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

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, 15-year FHLMC, and 15-year UMBS
issued by either FNMA or 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, FNMA UMBS, and FHLMC
UMBS outright transactions in column 1 and FNMA,
FNMA UMBS, and FHLMC UMBS dollar rolls in
column 2. Report FHLMC non UMBS eligible outright transactions in column 3 and FHLMC non
UMBS eligible dollar rolls in column 4.
Item 7a Report cumulative MBS TBA and Pool
Transactions in the appropriate columns for coupons
lower than 2.0%.

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

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

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

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

Item 7b Report cumulative MBS TBA and Pool
Transactions in the appropriate columns for
2.0% coupons.
Item 7c Report cumulative MBS TBA and Pool
Transactions in the appropriate columns for
2.5% coupons.

FR 2004

FM-3

January 2022

Comparisons Between and Within
Report
Appendix A

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

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.

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.

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 2004A vs. FR 2004SI and
FR 2004WI

FR 2004SD (comparisons of column 4,
columns 5 through 12, and columns 13
and 14)

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 2004

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
APP-A-1

January 2022

Appendix A

be less than or equal to the transaction data submitted
for that same Wednesday on the FR 2004SI for that
specific security.

the current day’s net outright transactions plus the
allotment received from the U.S. Treasury auction.

FR 2004WI (comparison of column 2 and
columns 4 and 5)

FR 2004SI vs. FR 2004WI

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

APP-A-2

January 2022

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

Reporting Differences Between and
Within the FR 2004 Reports
Appendix B

Allotments

Position Accounting Rules

Include new security allotment positions on the
FR 2004A, and exclude the transaction to obtain that
position from the FR 2004B.

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

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.
FR 2004

• 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
APP-B-1

January 2022

Appendix B

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.

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.

• 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.

APP-B-2

January 2022

FR 2004

Glossary
Appendix C

Affiliate

Dollar roll

Company under the control of the direct parent of the
primary dealer.

Aged fail

A transaction in which an institution sells a security for
immediate delivery (usually a mortgage-backed passthrough security) and agrees to repurchase a substantially identical security (but not the same) on a future
date at a specified price.

A failure to receive or to deliver a security that has been
outstanding for five business days or more.

Fail

Allotment

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.

The amount of a security issue that subscribers are
assigned based on their bids for those securities.

Federal agency
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.
FR 2004

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 agreeGL-1

January 2022

Glossary

ment 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.

GL-2

January 2022

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