INSTRUCTIONS FOR PREPARING THE FR 2004 

PRIMARY GOVERNMENT SECURITIES DEALERS REPORTS 

FR 2004 REPORTS 

FR 2004A Weekly Report of Dealer Positions 

FR 2004B Weekly Report of Cumulative Dealer Transactions 

FR 2004C Weekly Report of Dealer Financing And Fails 

FR 2004SI Weekly Report of Specific Issues 

FR 2004SD Daily Report of Specific Issues 

FR 2004WI Daily Report of Dealer Activity in Treasury Financing 
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TABLE OF CONTENTS 

Page 

I. Introduction..................................................................................................................... 1 

A. Purpose ............................................................................................................... 1 

B. Authority ............................................................................................................. 1 

C. Confidentiality ...................................................................................................... 1 

D. Paperwork Reduction Act Notice ............................................................................ 1 

II. General Instructions ......................................................................................................... 2

A. Who Must Report and Consolidation Rules ............................................................. 2 

B. Reporting Dates ................................................................................................... 3 

C. Officer Declaration and Signature........................................................................... 3 

D. Submission Instructions and Contact Information .................................................... 3 

III. What Must Be Reported.................................................................................................... 4 

A. Reportable Securities ........................................................................................... 4 

• U.S. Treasury Securities (excluding TIIS).......................................................... 4 

• U.S. Treasury Inflation-Indexed Securities (TIIS)............................................... 4 

• Federal Agency and Government Sponsored Enterprise Securities 

(excluding MBS) ............................................................................................. 4 

• Federal Agency and Government Sponsored Enterprise Mortgage-Backed 

Securities....................................................................................................... 4 

• Corporate Securities........................................................................................ 4 

B. Do Not Report ..................................................................................................... 5 

C. Allotments of New Securities ................................................................................. 6 

D. Underwriting of Securities ..................................................................................... 6 

E. Security Buybacks................................................................................................. 6 

F. Maturity Classifications.......................................................................................... 6 

• FR 2004A and FR 2004B.................................................................................. 6 

• FR 2004C, FR 2004SI, and FR 2004SD.............................................................. 7 

G. Accounting Rules.................................................................................................. 7 

• Position Data.................................................................................................. 8 

• Transaction Data ............................................................................................ 8 

• Financing Data ............................................................................................... 9 

• Fails Data...................................................................................................... 10 

H. Data Retention................................................................................................... 10 

I. Review of Data and Requests for Revised Data ..................................................... 10 

IV. Instructions for Completing Each FR 2004 Report.............................................................. 11 

A. FR 2004A - Weekly Report of Dealer Positions....................................................... 11 

• Reportable Positions ..................................................................................... 11 

B. FR 2004B - Weekly Report of Cumulative Dealer Transactions ................................ 11 

• Reportable Transactions ................................................................................ 11 

• Inter-Dealer Brokers (column 1)..................................................................... 12 

• Other Counterparties (column 2).................................................................... 12 

• Cancels and Corrections ................................................................................ 12 

• Electronic Trading Platforms .......................................................................... 12 

C. FR 2004C - Weekly Report of Dealer Financing and Fails........................................ 12 

• Types of Financing........................................................................................ 12 

• Memorandum............................................................................................... 14 

• Fails ............................................................................................................ 14 

D. FR 2004SI - Weekly Report of Specific Issues ....................................................... 14 

• Row Definitions ............................................................................................ 15 

• Security and Rate (column 1) ........................................................................ 15 

• Outright Cumulative Transactions (column 2).................................................. 16 
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• Net Settled Positions (column 3) .................................................................... 16 

• Gross Financing (columns 4 through 11)......................................................... 16 

• Types of Financing........................................................................................ 17 

• Specific Transactions (columns 4, 5, 8, and 9)................................................. 18 

• General (columns 6, 7, 10, and 11) ................................................................ 18 

• Fails (columns 12 and 13) ............................................................................. 18 

• FRBNY Security ID (column 14) ..................................................................... 18 

E. FR 2004SD - Daily Report of Specific Issues.......................................................... 18 

• Security and Rate (column 1) ........................................................................ 19 

F. FR 2004WI - Daily Report of Dealer Activity in Treasury Financing .......................... 19 

• No Activity ................................................................................................... 19 

• Re-Opened Security ...................................................................................... 19 

• Security (column 1) ...................................................................................... 20 

• Net Outright Positions (column 2) .................................................................. 20 

• Net Forward Financing Commitments (column 3)............................................. 20 

• Cumulative Outright Transactions (columns 4 and 5) ....................................... 20 

Appendix A - Comparisons Between and Within Reports ............................................................. 21 

• FR 2004A vs. FR 2004B................................................................................. 21 

• FR 2004C (line 3) vs. FR 2004C (memorandum).............................................. 21 

• FR 2004A vs. FR 2004SI and FR 2004WI ........................................................ 21 

• FR 2004B vs. FR 2004SI and FR 2004WI ........................................................ 21 

• FR 2004C vs. FR 2004SI................................................................................ 21 

• FR 2004SI (comparisons of column 3, columns 4 through 11, and 

columns 12 and 13)...................................................................................... 21 

• FR 2004SD (comparisons of column 3, columns 4 through 11, and 

columns 12 and 13)...................................................................................... 21 

• FR 2004SD vs. FR 2004SI.............................................................................. 22 

• FR 2004WI (comparison of column 2, column 3, and columns 4 and 5) ............. 22 

Appendix B - Reporting Differences Between and Within the FR 2004 Reports.............................. 23 

• Allotments.................................................................................................... 23 

• Underwriting of Securities.............................................................................. 23 

• Buybacks ..................................................................................................... 23 

• Dollar Rolls Involving To Be Announced (TBA) Securities, for which the 

Underlying Security Does Not Yet Exist (e.g., Forward MBS)............................. 23 

• Dollar Rolls Where a Specific MBS is Used as Collateral .................................... 23 

• Position Accounting Rules.............................................................................. 23 

• Valuing Transactions..................................................................................... 23 

• Financing Accounting Rules ........................................................................... 24 

• Failed Transactions Accounting Rules ............................................................. 24 

• Forwards .................................................................................................... 24 

Appendix C - Glossary.............................................................................................................. 25 
I. INTRODUCTION 

A. PURPOSE 

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). 

B. AUTHORITY

The FR 2004 reports are authorized by law (12 U.S.C. §§ 248(a)(2), 353-359, and 461(c)). 

These reports are required to obtain the benefit of primary dealer status. 

C. CONFIDENTIALITY 

Individual primary dealer data are regarded as confidential under the Freedom of Information Act

and are treated as such by the Federal Reserve System. Individual primary dealer data reported 

on the FR 2004 reports will not be published or otherwise publicly disclosed. Aggregate data 

derived from these reports that are published or otherwise publicly disclosed will not reveal the 

identity of any individual primary dealer. If it should be determined subsequently that any 

information collected on these reports must be released, primary dealers will be notified. 

D. PAPERWORK REDUCTION ACT NOTICE

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 7100-003. The estimated average burden associated with this collection of information, 

per response, is 1.5 hours for the FR 2004A, 2 hours for the FR 2004B, 1.25 hours for the 

FR 2004C, 2 hours for the FR 2004SI, 2 hours for the FR 2004SD, and 1 hour for the FR 2004WI. 

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. 
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II. GENERAL INSTRUCTIONS 

A. WHO MUST REPORT AND CONSOLIDATION RULES

The FR 2004 reports are required to obtain the benefit of primary dealer status. 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). Position, transaction, 

financing, and fails data of unconsolidated affiliates and subsidiaries should be excluded from the 

reported data. 

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 

Primary 

Dealer 

Company C 

(Direct Subsidiary of 

Primary Dealer) 

Company E 

(Consolidated Subsidiary 

of Primary Dealer) 

Company A 

(Primary Dealer 

Affiliate) 

Company B 

(Not Affiliate of 

Primary Dealer) 

Company D 

(Unconsolidated 

Subsidiary of Primary 

Dealer) 

These entities are not

consolidated with the 

primary dealer. 

These entities 

are 

consolidated 

with the 

primary 

dealer. 

Trades between 

consolidated 

and 

unconsolidated 

entities are 

reportable.
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B. REPORTING 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). 

FR 2004SI information may be requested daily for certain on-the-run or other securities on the 

FR 2004SD report. Data for the FR 2004SD should be submitted no later than 4:00 p.m. (Eastern 

Time) daily for the previous business day until notified by the FRBNY to cease reporting these 

data daily. 

Data for the FR 2004WI should be submitted no later than 4:00 p.m. (Eastern Time) daily during 

a when-issued period for the previous business day. The reporting of the FR 2004WI begins on 

the business day following a financing announcement for positions as of the close of business the 

day of the announcement. The last report for a when-issued period is due on the settlement date 

for information as of close of business the previous business day. 

C. OFFICER DECLARATION AND SIGNATURE 

Each FR 2004 report (A, B, C, SI, SD, and WI) 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 of the primary dealer entity. This includes the CEO, CFO, or equivalent officer 

with these responsibilities. The signing officer is expected to notify the FRBNY if he/she becomes 

aware of any material inaccuracies in any 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 Federal Reserve Bank of New 

York. 

D. SUBMISSION INSTRUCTIONS AND CONTACT INFORMATION

All FR 2004 data must be submitted via the Federal Reserve System’s Internet Electronic 

Submission (IESUB) system. 

If data cannot be transmitted via the IESUB system, primary dealers are required to fax the 

FR 2004 reports to the FRBNY by 4:00 p.m. (Eastern Time) Thursday (or FR 2004SD or 

FR 2004WI deadline date) to: 212-720-5030 or 646-720-5030. Prior to faxing reports, please call 

your FR 2004 FRBNY contact or the FR 2004 Staff Director at 212-720-8023 or 646-720-8023. 

Data that are faxed to FRBNY must subsequently be submitted via the IESUB system. 

The FR 2004 report forms and instructions are available on the Board’s Internet website at: 

http://www.federalreserve.gov/boarddocs/reportforms/default.cfm
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III. WHAT MUST BE REPORTED 

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. A list of 

CUSIP “roots” for securities issued by the U.S. Treasury can be obtained from: 

http://www.treasurydirect.gov/instit/auctfund/work/auctime/auctime_securitiestable.htm

A list of CUSIP “roots” for securities issued by federal agencies and government sponsored 

enterprises (GSEs) can be obtained from: 

http://www.frbservices.org/Wholesale/FedwireSecuritiesGuide.html

This list should be used as a guide and not considered a complete listing. This list includes 

securities that are not reportable on the FR 2004 reports (e.g., securities issued by multinational 

institutions, such as the Asian Development Bank) and does not include securities issued by all 

federal agencies and GSEs. 

U.S. Treasury Securities (excluding TIIS)

Report direct obligations of the U.S. Treasury. This includes bills, notes, bonds, and Separate 

Trading of Registered Interest and Principal Securities (STRIPS), both the interest-only (IO) and 

principal-only (PO) components. 

U.S. Treasury Inflation-Indexed Securities (TIIS)

Report U.S. Treasury inflation-indexed securities, which include 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 TIIS. 

Federal Agency and Government Sponsored Enterprise Securities (excluding MBS)

Report securities that are issued by, guaranteed by, or are the direct obligation of a federal 

agency or a GSE that are not mortgage-backed securities (MBS). 

Federal Agency and Government Sponsored Enterprise Mortgage-Backed Securities

Report MBS that are issued by, guaranteed by, or are the direct obligations of a federal agency or 

GSE. These include, but are not limited to: participation certificates, pass-through securities, 

collateralized mortgage obligations (CMOs), real estate mortgage investment conduits (REMICs), 

and stripped securities (both the IO and PO components). 

Corporate Securities

Report U.S. dollar-denominated debt securities issued by corporations incorporated in 

the fifty states of the United States and the District of Columbia. These include: 

• bonds, notes, debentures; 
5 

• CMOs and REMICs (including residuals) issued by entities other than federal 

agencies and GSEs, even if the collateral for the CMO or REMIC consists of GNMA 

pass-through securities, FHLMC participation certificates, or FNMA pass-through 

securities; 

• stripped securities (both the IO and PO components) issued by entities other 

than federal agencies and GSEs, even if the securities that have been stripped 

consist of GNMA pass-through securities, FHLMC participation certificates, or 

FNMA pass-through securities; 

• commercial paper; and 

• privately placed securities (e.g., 144a securities). 

B. DO NOT REPORT

• Position, transaction, financing, and fails data of unconsolidated affiliates and subsidiaries, 

unless the primary dealer conducts trades directly with an unconsolidated affiliate or 

subsidiary. 

• Internal trades occurring within the reporting primary dealer, including trades between desks 

or departments. 

• Transactions executed to settle trades for electronic trading platforms. However, report all 

transactions executed through electronic trading platforms for the reporting dealer’s own 

accounts. 

• 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). 

• Bankers’ acceptances, certificates of deposits, deposit notes, bank notes, money market 

mutual funds, Eurodollars, and other money market instruments, except commercial paper. 

• Asset-backed securities that are not MBS, including collateralized bond obligations (CBOs), 

collateralized loan obligations (CLOs), collateralized debt obligations (CDOs), and other 

securities backed by pools of assets such as credit card receivables, automobile loans and 

leases, home equity lines, consumer and personal loans, commercial and industrial loans, and 

other assets unless 90% or more of the underlying assets are reportable MBS securities. 

• Municipal securities. 

• Convertible debt. 

• Shares of funds, including exchange traded funds (ETFs), even if the fund invests in 

reportable securities. 
6 

• Derivatives; however, forward positions and forward transactions are reportable on the 

FR 2004A and the FR 2004B, respectively. Also, forward financing commitments are 

reportable on the FR 2004WI. 

C. ALLOTMENTS OF NEW SECURITIES

Report the position taken in a new U.S. Treasury, federal agency, or GSE security allotment. 

Include allotments that are awarded on a report date in that day’s positions. However, the 

transaction to obtain that position (whether for the primary dealer’s own portfolio or on behalf of 

a customer) should be excluded. Purchases from and sales to the FRBNY are not allotments. 

D. UNDERWRITING OF SECURITIES

Report the position taken in a new corporate issue when the primary dealer is the underwriter or 

part of the underwriting syndicate. The transaction to obtain that position (whether for the 

primary dealer’s own portfolio or on behalf of a customer) should be excluded. 

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 primary dealer’s own portfolio or on behalf of a 

customer). However, please note that purchases of securities by a primary dealer from a 

customer to complete the buyback process should be included. 

F. MATURITY CLASSIFICATIONS

FR 2004A and FR 2004B

Report U.S. Treasury, federal agency, GSE, and corporate securities in the appropriate maturity 

classification row on the FR 2004A and 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. 

• Callable fixed-rate debt securities and callable floating-rate debt securities that cannot be 

put back to the issuer (including American, Bermudan, and European-style callable debt) 

that have not been called should be categorized based on the time remaining to the 

original maturity date and not based on the time remaining to the next call date. 

• Callable fixed-rate debt securities and callable floating-rate debt securities that cannot be 

put back to the issuer that have been called should be categorized based on the time 

remaining to the call date. 

• Callable floating-rate debt securities that can be put back to the issuer, whether called or 

not, should be categorized based on the time remaining to the next repricing date. 

• When-issued securities should be categorized based on the time remaining to maturity 

calculated from the issue date (e.g., a when-issued, 3-year U.S. Treasury note should be 

reported in line 1b, U.S. Treasury Coupons due in less than or equal to 3 years). 

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

to the payment date for each IO component, and to the redemption date for the PO 
7 

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 6 IO components in line 1b (U.S. Treasury Coupons due in less 

than or equal to 3 years); 

• The sum of the next 6 IO components in line 1c (U.S. Treasury Coupons due in more 

than 3 years but less than or equal to 6 years); 

• The sum of the next 10 IO components in line 1d (U.S. Treasury Coupons due in more 

than 6 years but less than or equal to 11 years); and 

• The sum of the remaining 38 IO components and the PO component in line 1e (U.S. 

Treasury Coupons due in more than 11 years). 

FR 2004C, FR 2004SI, and FR 2004SD

• Overnight Financing 

An overnight financing agreement is an agreement that settles on one business day and 

matures on the next business day. For example, overnight financing includes a Friday to 

Monday agreement and a Friday to Tuesday agreement when Monday is a holiday. 

• Continuing Contracts 

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. 

• Term Agreements 

A term agreement is an agreement with an original fixed maturity of more than one 

business day that is not a continuing contract.

G. ACCOUNTING RULES

Report all data in millions of dollars. Total all data for each cell before rounding. Do not report 

decimals in any cell. Do not report negative values in any cell, except for the: 

• FR 2004SI, column 3 (net settled position); 

• FR 2004SD, column 3 (net settled position); 

• FR 2004WI, column 2 (net outright positions); and 

• FR 2004WI, column 3 (net forward financing commitments). 
8 

Position Data

• FR 2004A 

Report data on the FR 2004A at fair (market) value. The definition of fair value is 

consistent with FAS 107. That is, fair value is the amount at which an asset could be 

bought or sold in a current transaction between willing parties, other than in a forced or 

liquidation sale. If a quoted market price is available for an instrument, the fair value is 

the product of the number of trading units times the market price. 

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. 

• FR 2004SI and FR 2004SD 

Report position data on the FR 2004SI and FR 2004SD at the original issuance par 

amount. 

Positions on the FR 2004SI and 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) of the FR 2004SI and 

the FR 2004SD. 

• FR 2004WI 

Report position data on the FR 2004WI at the original issuance par amount. 

Positions on the FR 2004WI are reported using trade date accounting. 

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. 

Transaction Data

• FR 2004B 

Report outright transactions, including transactions of when-issued securities, on the 

FR 2004B. Report outright transactions of fixed principal securities at principal value, 

excluding accrued interest. Principal value is the current face value purchased or sold 

times the price. For outright TIIS 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. Do not net purchases and sales. Also, do not report 

transactions executed to settle trades for electronic trading platforms. However, report all 
9 

transactions executed through electronic trading platforms for the reporting dealer’s own 

accounts. 

• FR 2004SI 

Report transaction data on the FR 2004SI at the original issuance par amount. 

Transactions on the FR 2004SI are reported using trade date accounting. 

Report on a cumulative basis. Do not net purchases and sales. 

• FR 2004SD and FR 2004WI 

Report transaction data on the FR 2004SD and FR 2004WI at the original issuance par 

amount. 

Transactions on the FR 2004SD and FR 2004WI are reported using trade date accounting. 

Do not net purchases and sales. 

Financing Data

• FR 2004C 

Report the actual funds paid or received on the FR 2004C. If only securities are 

exchanged, report the fair (market) value of the securities pledged. 

Financing that is outstanding as-of the report date is reported on the FR 2004C using 

settlement date accounting. 

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

this report. 

• FR 2004SI and FR 2004SD 

Report financing data, including when only securities are exchanged, on the FR 2004SI 

and FR 2004SD at the original issuance par amount of the collateral. 

Financing that is outstanding as-of the report date is reported on the FR 2004SI and 

FR 2004SD using trade date accounting. 

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

this report. 

• FR 2004WI 

Report forward financing commitments on the FR 2004WI at the original issuance par 

amount of the collateral. 

Forward financing commitments are reported on the FR 2004WI using trade date 

accounting. 
10 

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. 

Fails Data

• FR 2004C 

Report transactions that fail at principal value, excluding accrued interest (same as the 

FR 2004B). 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 (same as the FR 2004C). 

Report on a cumulative basis for the reporting period only. 

• FR 2004SI and FR 2004SD 

Report fails data on the FR 2004SI and FR 2004SD at the original issuance par amount of 

the collateral. 

Do not report on a cumulative basis. Report fails that occurred on the as-of date only. 

H. DATA RETENTION

Primary dealers must retain all reported data for 2 years from the date of submission. 

I. REVIEW OF DATA AND REQUESTS FOR REVISED DATA

FRBNY analysts review the data submitted on the FR 2004 reports. As a result of this review, the 

primary dealer may be asked to explain discrepancies or submit revised reports if the submitted 

data contain errors or incorrectly omit data. Revisions must be submitted via the IESUB 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.
11 

IV. INSTRUCTIONS FOR COMPLETING EACH FR 2004 REPORT 

A. FR 2004A – WEEKLY REPORT OF DEALER POSITIONS

Report the following on the FR 2004A report using trade date accounting (except for buybacks, 

which use settlement date accounting) at fair (market) value 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). 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

• Immediate delivery and forward delivery positions that are owned on an outright basis. 

• Forward contracts. 

• The position taken in a new U.S. Treasury, federal agency, or GSE security allotment. Include 

allotments that are awarded on a report date in that day’s positions. 

• The position taken in a new corporate issue when the primary dealer 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). However, exclude dollar rolls that use a specific MBS 

as collateral because they are treated as repurchase agreements. 

B. FR 2004B – WEEKLY REPORT OF CUMULATIVE DEALER TRANSACTIONS

Report transactions involving the following on the FR 2004B report using trade date accounting at 

principal value in the appropriate counterparty column. Report on a cumulative basis for the 

reporting period. Do not net purchases and sales. 

Reportable Transactions

• Outright transactions and forward transactions of fixed principal securities. 

• TIIS. 

• Purchases of securities by a primary dealer from a customer to complete the buyback process. 

However, exclude buyback offers accepted by the U.S. Treasury, a federal agency, or a GSE 

from primary dealers whether on their 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). However, exclude dollar rolls that use a specific MBS 

as collateral because they are treated as repurchase agreements. 
12 

Inter-Dealer Brokers (column 1)

Inter-dealer brokers are listed in the Fixed Income Clearing Corporation’s (FICC) government 

securities division member directory. The directory can be obtained from: 

http://www.ficc.com/gov/gov.mem.dir.jsp

Brokers with an asterisk next to their name are inter-dealer brokers. Include trades with these 

institutions in this column 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. 

Other Counterparties (column 2)

Include transactions with: primary dealers, the FRBNY (including open market operations, 

secondary markets purchases and U.S. Treasury coupon passes), and all other counterparties 

other than those included in column 1. 

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 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. 

Electronic Trading Platforms

Also, do not report transactions executed to settle trades for electronic trading platforms. 

However, report all transactions executed through electronic trading platforms for the reporting 

dealer’s own accounts. 

C. FR 2004C – WEEKLY REPORT OF DEALER FINANCING AND FAILS

Report financing (including General Collateral Financing (GCF) transactions settled using FICC) 

that is outstanding as-of the FR 2004C report date using settlement date accounting. 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. 

Types of Financing

• Securities In (column 1) 

Report contractual arrangements or the pledge of securities to be received from a 

counterparty. Report the following on the FR 2004C. 

• Reverse repurchase agreements including those with the FRBNY. (Include 

tri-party repurchase agreements and Hold-in-Custody (HIC) agreements.) 
13 

Include dollar reverse repurchase agreements, dollar-rolls (only where 

specific securities are used as collateral), matched sale-purchase agreements, 

or any form of synthetic equivalents. 

• Securities borrowed, which are contractual agreements in which securities 

are borrowed from a counterparty, 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 

primary dealer as a pledge against a loan of securities. Report the fair 

(market) value of the securities. 

• Collateral received from a counterparty as a result of a margin payment, margin call 

or other type of similar collateral deposit, or held as collateral for another financial 

contract (e.g., derivatives). 

• Arrangements associated with open market operations. 

• Securities Out (column 2) 

Report contractual arrangements or the pledge of securities to be delivered to a 

counterparty. Report the following on the FR 2004C. 

• Repurchase agreements including those with the FRBNY. (Include tri-party 

repurchase agreements and HIC agreements.) 

Include dollar repurchase agreements, dollar-rolls (only where specific 

securities are used as collateral), matched sale-purchase agreements, or any 

form of synthetic equivalents. 

• Securities lent, which are contractual agreements in which securities are lent 

to a counterparty, 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 primary 

dealer to secure a borrowing of securities. Report the fair (market) value of 

the securities. 

• Collateralized loans, which are the primary dealer’s cash borrowings that 

have been secured by securities. Report the cash received from a 

collateralized loan. 

• Collateral delivered to a counterparty (e.g., a clearing corporation) as a result of a 

margin payment, margin call or other type of similar collateral deposit, or sent as 

collateral for another financial contract (e.g., derivatives). 

• Arrangements associated with open market operations. 
14 

Memorandum

Only repurchase and reverse repurchase (resale) agreement data are reported in the 

memorandum section. This includes repurchase and reverse repurchase agreements where the 

underlying collateral is any reportable asset, i.e., U.S. Treasury, federal agency, GSE, mortgagebacked, and corporate securities. 

The reverse repurchase agreement data in the memorandum is a subset of the data reported in 

lines 1 and 2, column 1. Therefore, the data in the memorandum should be less than or equal 

to the data reported in line 3, column 1. 

The repurchase agreement data in the memorandum is a subset of the data reported in lines 1 

and 2, column 2. Therefore, the data in the memorandum should be less than or equal to the 

data reported in line 3, column 2. 

Fails

Report transactions that fail, including aged fails, at principal value, excluding accrued interest 

(same as the FR 2004B). Report financing transactions that fail, including aged fails, at the 

amount that was to be paid or received on the day the failed trade was to be settled (same as 

the FR 2004C). Include in line 4c (mortgage-backed securities fails) TBA MBS when the 

settlement date is delayed beyond the contractual settlement date. 

Report on a cumulative basis 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. This includes fails outstanding over a weekend or a holiday. 

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.

D. FR 2004SI – WEEKLY REPORT OF SPECIFIC ISSUES 

Report position, transaction, financing, and fails data for the most recently issued onthe-run U.S. Treasury securities, including TIIS, for each maturity classification on the 

FR 2004SI. Once a when-issued security has been issued, the security stops being 

reported on the FR 2004WI and replaces the security with the same maturity 

classification on the FR 2004SI. 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 to be reported on the FR 2004SI is maintained on the 

FR 2004SI guide sheet, which can be obtained from: 

http://www.newyorkfed.org/markets/primarydealers.html
15 

Row Definitions

It is important to submit the securities on the FR 2004SI in the same order each week. 

Fixed principal securities should be listed first in ascending maturity order followed by 

the TIIS securities, also in ascending order. Based on the U.S. Treasury’s current 

offering schedule, the reported securities will be:

• 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 - 10-year U.S. Treasury note

• Line # 5 - 30-year U.S. Treasury bond

• Line # 6 - 5-year TIIS note 

• Line # 7 - 10-year TIIS note 

• Line # 8 - 20-year TIIS bond 

• Line # 9 - 30-year TIIS bond 

Security and Rate (column 1)

Report the most recently issued on-the-run security for each maturity classification of 

U.S. Treasury fixed income and TIIS note and bond. Identify securities by coupon and 

maturity date in yyyymmdd format. 

• Example 1 - New Security: 

Report a new 5-year U.S. Treasury note issued on February 17 beginning the 

first Wednesday on or after February 17. Continue to report it until the U.S. 

Treasury issues a new 5-year U.S. Treasury note (different CUSIP, different 

maturity date, and same original term to maturity). 

If the new 5-year U.S. Treasury note is issued on May 12, begin to report the 

new 5-year U.S. Treasury note on the first Wednesday on or after May 12 and 

stop reporting the 5-year U.S. Treasury note issued on February 17. 

CUSIP Issue Date FR 2004SI Report Dates 

111111AAA 02/17/2004 02/18/2004 - 05/5/2004 

111111BBB 05/12/2004 05/12/2004 until a new 5-year 

U.S. Treasury note is issued 

• Example 2 - Re-opened Security: 

Report a new 10-year U.S. Treasury note issued on August 16 beginning the 

first Wednesday on or after August 16. Continue to report it until the U.S. 

Treasury issues an additional amount of the on-the-run 10-year U.S. Treasury 

note, i.e., a re-opened security (same CUSIP, same maturity date, and different 

original term to maturity). 

If the re-opened 10-year U.S. Treasury note is issued on September 14 (a 

Tuesday), begin to report the re-opened 10-year U.S. Treasury note on the first 

Wednesday on or after September 14. Report data for the 10-year U.S. 

Treasury note issued on August 16 up to the re-opened security’s issue date 

(e.g., for Thursday, Friday, and Monday). Therefore, the first FR 2004SI 
16 

submitted that includes data from the re-opened security will also contain data 

for the original issue. Subsequent reports should exclude the 10-year U.S. 

Treasury note issued on August 16. 

CUSIP1 Issue Date FR 2004SI Report Dates Data to Include in 

Report 

222222BBB 08/16/2004 08/18/2004 - 09/8/2004 all business days 

222222BBB 08/16/2004 09/15/2004 Thursday, Friday, and 

Monday 

222222BBB 09/14/2004 09/15/2004 Tuesday and Wednesday 

222222BBB 09/14/2004 09/22/2004 until a new 10-year 

U.S. Treasury note is issued 

all business days 

Cumulative Outright Transactions (column 2)

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. 

Net Settled Positions (column 3)

Report data using settlement date accounting 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. 

Gross Financing (columns 4 through 11)

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 

 

1

 For presentation purposes only. The data associated with CUSIP 222222BBB would be combined and reported on 

one row on the FR 2004SI. 
17 

against loans even if the counterparty, term, and security are identical. FIN 41 does not apply 

to this report. 

Types of Financing

• Securities In (columns 4 through 7) 

Report contractual arrangements or the pledge of securities to be received from a 

counterparty. Report the following on the FR 2004SI. 

• Reverse repurchase agreements including those with the FRBNY. (Include 

tri-party repurchase agreements and HIC agreements.) 

Include dollar reverse repurchase agreements, dollar-rolls (only where 

specific securities are used as collateral), matched sale-purchase agreements, 

or any form of synthetic equivalents. 

• Securities borrowed, which are contractual agreements in which securities 

are borrowed from a counterparty, including a Federal Reserve Bank. 

• Securities received as pledge, which are securities that were received by the 

primary dealer as a pledge against a loan of securities. 

• Collateral received from a counterparty as a result of a margin payment, margin call 

or other type of similar collateral deposit, or held as collateral for another financial 

contract (e.g., derivatives). 

• Arrangements associated with open market operations. 

• Securities Out (columns 8 through 11) 

Report contractual arrangements or the pledge of securities to be delivered to a 

counterparty. Report the following on the FR 2004SI. 

• Repurchase agreements including those with the FRBNY. (Include tri-party 

repurchase agreements and HIC agreements.) 

Include dollar repurchase agreements, dollar-rolls (only where specific 

securities are used as collateral), matched sale-purchase agreements, or any 

form of synthetic equivalents. 

• Securities lent, which are contractual agreements in which securities are lent 

to a counterparty, including a Federal Reserve Bank. 

• Securities pledged, which are securities that were pledged by the primary 

dealer to secure a borrowing of securities. 

• Collateralized loans, which are the primary dealer’s cash borrowings that 

have been secured by securities. 
18 

• Collateral delivered to a counterparty as a result of a margin payment, margin call or 

other type of similar collateral deposit, or sent as collateral for another financial 

contract (e.g., derivatives). 

• Arrangements associated with open market operations. 

Specific Transactions (columns 4, 5, 8, and 9)

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. 

General (columns 6, 7, 10, and 11)

Report as “general transactions,” transactions where the parties agree to borrow/lend any 

member of a class of securities (such as “a Treasury issue” or “a Treasury issue no longer than 

10 years to maturity”), where the specific collateral in the transaction to be delivered pursuant 

to the agreement is identified after the class and rate are negotiated. Tri-party and GCF repos 

are “general transactions” as is a deliver versus payment repo (“DVP repo”) where the collateral 

is identified after the rate, term, and class are agree upon. In “general transactions” the lender 

of collateral has some latitude in its choice of collateral delivered. 

Fails (columns 12 and 13)

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. 

FRBNY Security ID (column 14)

The FRBNY security ID is the number of years of the original term to maturity for fixed 

principal securities. To distinguish reporting of TIIS 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 

• Line #2 – 3 

• Line #3 – 5 

• Line #4 – 10 

• Line #5 – 30 

• Line #6 – 55 (derived by adding 50 to 5) 

• Line #7 – 60 (derived by adding 50 to 10) 

• Line #8 – 70 (derived by adding 50 to 20) 

• Line #9 – 80 (derived by adding 50 to 30) 

E. FR 2004SD – DAILY REPORT OF SPECIFIC ISSUES 

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 

an ad-hoc basis until notification is received from the FRBNY to cease daily reporting. 

Once these data are requested, the FR 2004SD guide sheet can be obtained from: 
19 

http://www.newyorkfed.org/markets/primarydealers.html

The FR 2004SD data and the FR 2004SI data should be transmitted separately via the 

IESUB system. The FR 2004SD data should be reported based on the data definitions 

and accounting rules that apply to the FR 2004SI. 

Security and Rate (column 1)

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. 

Example – Requested Security: 

If a 10-year U.S. Treasury note is requested to be reported starting with data for 

August 16, begin to report this 10-year U.S. Treasury note on August 17, and continue 

to report on a daily basis until notified to cease reporting. 

CUSIP Initial Data FR 2004SD Report Dates 

111111AAA 08/16/2004 08/17/2004 until further notice 

F. FR 2004WI – DAILY REPORT OF DEALER ACTIVITY IN TREASURY FINANCING

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 

using trade date accounting at the original issuance par amount on the FR 2004WI. Report daily 

during the when-issued trading period, which is the time between the announcement and date of 

issue (settlement date). 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 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 primary dealer does not have any when-issued activity, a report must be submitted reflecting 

zero data. 

Re-Opened Security

Report net outright positions, net forward financing commitments, and cumulative outright 

transactions on both the previously issued security and the when-issued security as of close of 

business the prior day. If there is an existing position for the previously issued security in 

inventory, this position should be included in the net outright position column on day 1. 
20 

Security (column 1)

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) 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. 

Net Outright Positions (column 2) 

Report net outright positions in the when-issued security and the outstanding security if the U.S. 

Treasury has re-opened an issue. Include positions for when-issued delivery, delivery dates after 

issuance, or in the case of the outstanding security, any delivery date. Long and short positions 

should be reported net by security; therefore, a negative value can be reported in column 2 (net 

outright positions) of the FR 2004WI. 

Include primary dealer allotments (securities received through auction as a result of primary 

dealers 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. 

Net Forward Financing Commitments (column 3)

A forward commitment is a financing transaction (as defined for the FR 2004C) that is scheduled 

to begin on a date after the report date. For example, an agreement to finance at issuance. 

Report any forward financing commitments involving a re-opened or new when-issued security 

even if no outright position is held. When the U.S. Treasury re-opens an issue, report the net 

forward financing commitments for both the security being traded as a when-issue security and 

for the security being traded on-the-run. Long and short positions should be reported net by 

security, therefore, a negative value can be reported in column 3 (net forward financing 

commitments) of the FR 2004WI. 

A repurchase agreement or commitment to lend the security should be considered a short 

position. A reverse repurchase agreement or commitment to borrow securities should be 

considered a long position. Exclude primary dealer allotments and customer awards (securities 

received from bids placed on behalf of a customer by a primary dealer). 

Cumulative Outright Transactions (columns 4 and 5)

Report gross purchases and sales in the appropriate column. Include transactions in the 

outstanding security if the U.S. Treasury has re-opened a security. Report only the transactions 

executed on the reporting date. Do not report cumulative transactions across reporting dates. 

Do not net purchases and sales. 

Report transactions for any delivery date. Include immediate, forward and when-issued 

transactions. Exclude primary dealer allotments and customer awards (securities received from 

bids placed on behalf of a customer by a primary dealer). 
21 

APPENDIX A

COMPARISONS BETWEEN AND WITHIN REPORTS 

There are general comparisons among the FR 2004 reports. However, if your data does not 

correspond with the comparisons, there may be acceptable explanations for the differences. 

FR 2004A vs. FR 2004B

Change in positions (between two weeks) reported on the FR 2004A should be less than the level 

of transactions reported on the current week FR 2004B. 

FR 2004C (line 3) vs. FR 2004C (memorandum)

The reverse repurchase agreement data reported in the memorandum should be less than or 

equal to the data reported in line 3, column 1. 

The repurchase agreement data reported in the memorandum should be less than or equal to 

data reported in line 3, column 2. 

FR 2004A vs. FR 2004SI and FR 2004WI

Positions reported on the FR 2004A should be greater than or equal to the sum of net settled 

positions reported on the FR 2004SI and FR 2004WI. 

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

Transactions reported on the FR 2004B should be greater than or equal to the sum of cumulative 

outright transactions reported on the FR 2004SI and FR 2004WI. 

FR 2004C vs. FR 2004SI

U.S. Treasury financing and fails data reported on the FR 2004C should be greater than or equal 

to U.S. Treasury financing and fails data reported on the FR 2004SI. 

FR 2004SI (comparisons of column 3, columns 4 through 11, and columns 12 and 13)

The net settled position reported in column 3 should be equal to the net financing and fails data 

reported in columns 4 through 13. 

The difference between uses of financing (columns 4 through 7) and sources of financing 

(columns 8 through 11) should be equal to the difference between the net settled position 

(column 3) and net fails data (columns 12 and 13). 

FR 2004SD (comparisons of column 3, columns 4 through 11, and columns 12 and 13)

The net settled position reported in column 3 should be equal to the net financing and fails data 

reported in columns 4 through 13. 

The difference between uses of financing (columns 4 through 7) and sources of financing 

(columns 8 through 11) should be equal to the difference between the net settled position 

(column 3) and net fails data (columns 12 and 13). 
22 

FR 2004SD vs. FR 2004SI

When the same security is reported on the FR 2004SD and the FR 2004SI, the position, financing, 

and fails data submitted as-of Wednesday for the FR 2004SD should match the position, 

financing, and fails data submitted for that same Wednesday on the FR 2004SI for that specific 

security. 

When the same security is reported on the FR 2004SD and the FR 2004SI, the transaction data 

submitted as-of Wednesday for the FR 2004SD should be less than or equal to the transaction 

data submitted for that same Wednesday on the FR 2004SI for that specific security. 

FR 2004WI (comparison of column 2, column 3, and columns 4 and 5)

Net outright positions should reconcile between daily report dates. Current net outright 

positions should equal the prior day’s net outright position plus the current day’s net outright 

transactions. 

On the auction date, the current net outright position should equal the prior day’s net outright 

position plus the current day’s net outright transactions plus the allotment received from the 

U.S. Treasury auction.
23 

APPENDIX B

REPORTING DIFFERENCES BETWEEN AND WITHIN THE FR 2004 REPORTS 

Allotments

Include new security allotment positions on the FR 2004A, and exclude the transaction to obtain 

that position from the FR 2004B. 

Underwriting of Securities

Include new corporate issue positions on the FR 2004A when the primary dealer is the 

underwriter or part of the underwriting syndicate, and exclude the transaction to obtain that 

position from the FR 2004B. 

Buybacks

Position reductions due to buyback operations are reflected on the FR 2004A, while the 

transaction to reduce that position is excluded from the FR 2004B. Please note that a purchase 

of securities by a primary dealer from a customer to complete the buyback process is included on 

the FR 2004B. 

Dollar Rolls Involving To be Announced (TBA) Securities, for which the Underlying Security Does 

Not Yet Exist (e.g., Forward MBS)

Include positions and transactions on the FR 2004A and FR 2004B, respectively, and exclude from 

the FR 2004C. 

Dollar Rolls Where a Specific MBS is Used as Collateral

Include on the FR 2004C, and exclude from the FR 2004A and FR 2004B. 

Position Accounting Rules

• Report positions on the FR 2004A using trade date accounting, except for buybacks, which 

should be reported using settlement date accounting. 

• Report positions, except buybacks, on the FR 2004A and FR 2004WI using trade date 

accounting while positions are reported on the FR 2004SI and FR 2004SD using 

settlement date accounting. 

• Report positions on the FR 2004A at fair (market) 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. 
24 

Financing Accounting Rules

Report financing data on the FR 2004C using settlement date accounting for the actual funds paid 

or received, while financing data on the FR 2004SI and the FR 2004SD and forward financing 

commitments on the FR 2004WI are reported using trade date accounting at the original issuance 

par amount of the collateral. 

Failed Transactions Accounting Rules

• Report failed transactions on the FR 2004C at principal value, excluding accrued interest, 

while failed transactions are reported on the FR 2004SI and the FR 2004SD at the original 

issuance par amount of the security. 

• Report failed financing transactions on the FR 2004C as the amount that was to be paid or 

received on the day the failed trade was to be settled, while failed financing transactions 

are reported on the FR 2004SI and the FR 2004SD at the original issuance par amount of 

the collateral. 

• Report fails on a cumulative basis on the FR 2004C, while fails are not reported on a 

cumulative basis on the FR 2004SI and the FR 2004SD. 

Forwards

Include forward positions and forward transactions on the FR 2004A and the FR 2004B, 

respectively, and exclude from the FR 2004SI and FR 2004SD. 
25 

APPENDIX C

GLOSSARY 

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

Aged fail – A failure to receive or to deliver a security that has been outstanding for five business 

days or more. 

Allotment – The amount of a security issue that subscribers are assigned based on their bids for 

those securities. 

Call date – A date before maturity, specified at issuance, when the issuer may retire part of the 

security for a specified price. 

Coupon passes – Transactions initiated by the FRBNY with primary dealers involving U.S. 

Treasury securities that add or withdraw reserves. 

Derivative – Financial instrument whose value depends on, or is derived from, the prices, or level 

of indexes or underlying assets, such as interest rates, foreign exchange rates, equities, or 

commodities. They represent an agreement between two or more counterparties on the price or 

level of the asset or index for exchange or settlement at a later specified date. 

Dollar roll – A transaction in which an institution sells a security for immediate delivery (usually a 

mortgage-backed pass-through security) and agrees to repurchase a substantially identical 

security (but not the same) on a future date at a specified price. 

Fail – On the settlement date, either the seller does not deliver the security as agreed or the 

buyer does not deliver funds (and therefore does not receive the security) as agreed. 

Federal agency – An agency or corporation that has been chartered, authorized, or organized as a 

result of federal legislation. 

Forward contract – A contract in which two parties agree to the purchase and sale of an asset at 

some future date. Forward contracts are not standardized and are not traded on organized 

exchanges. 

Government sponsored enterprise (GSE) – Privately owned, publicly chartered entities created by 

Congress to reduce the cost of capital for certain borrowers, including farmers, homeowners, and 

students. 

Reverse repurchase agreement (resale agreement) – A transaction involving the purchase of 

financial assets by one party from another, subject to an agreement by the purchaser to resell the 

assets at a specified date or in specified circumstances. 

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.