Professional Documents
Culture Documents
CONTENTS-1
FR 2004 January 2022
Contents
CONTENTS-2
January 2022 FR 2004
Contents
Glossary
Affiliate ............................................................................................................................................... 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
CONTENTS-3
FR 2004 January 2022
INSTRUCTIONS FOR PREPARATION OF
GEN-1
FR 2004 January 2022
General Instructions
the FR 2004C, 2.2 hours for the FR 2004SI, 2.2 hours official signature certifying that the data contained
for the FR 2004SD, 1 hour for the FR 2004WI, 1 hour therein is correct, must be retained by the Institution
for the FR 2004FA, 1 hour for the FR 2004FB, 1 hour for at least five years, and is subject to inspection by the
for the FR 2004FC, and 1.5 hours for the FR 2004FM. Reserve Bank.
These averages include the time to gather and maintain
data in the required form, to review instructions, and to Officer Declaration and Signature
complete the information collection. The amount of
time required to complete these reports will vary Each FR 2004 report (A, B, C, SI, SD, WI, FA, FB,
depending on the amount of data to report. Comments FC, and FM) must be signed by a senior officer of the
concerning the accuracy of this burden estimate and primary dealer that has managerial responsibilities for
suggestions for reducing burden should be directed to: the internal controls for financial statements or the
trading operations. This includes the CEO, CFO, or
Secretary, Board of Governors of the equivalent officer with these responsibilities. The sign-
Federal Reserve System ing officer is expected to notify the FRBNY if the offi-
20th Street and Constitution Avenue, N.W. cer becomes aware of any material inaccuracies in
Washington, DC 20551 reported data.
No person is required to respond to any collection of Either the signature page of the FRBNY-supplied
information from the Federal Reserve System unless it sample set of report forms, a photocopy of this signa-
displays a currently valid OMB control number. ture page, or a copy of the signature page from the pri-
mary dealer’s report preparation software should be
Requests for Revised Data used to fulfill the signature and declaration require-
ment. This page should be attached to the printout
FRBNY staff review data submitted on the placed in the primary dealer’s official files for a period
FR 2004 reports. As a result of their review and ana- of time that is consistent with the retention of the
lytical procedures, FRBNY staff may ask reporters to FR 2004 reports. In addition, a copy of the attestations
explain data conditions or submit revisions. Since these must be submitted annually for the last as-of date of
data are extremely time-sensitive, reporters should each year to the FRBNY.
respond as quickly as possible to these requests. Revi-
sions must be submitted via the Reporting Central
system. D. Who Must Report
When cancels and corrections to prior period
FR 2004B data occur, they may be corrected by reduc- Reporting Dealers
ing or increasing the next period’s transactions by the Respondents to the reports are primary dealers. The
amount of the error. The revisions cannot be applied FR 2004 reports are required to obtain the benefit of
to the next period’s transactions if the cancellation or primary dealer status. The Federal Reserve Bank of
correction from the prior period results in a negative New York trades U.S. government and select other
amount in the next period’s transactions. In that case, securities with designated primary dealers, which
revised prior period data should be submitted. include banks and securities broker-dealers. A list of
primary dealers can be found at https://
Data Retention www.newyorkfed.org/markets/primarydealers.html.
In accordance with Federal Reserve Banks Operating
Consolidation Rules
Circular No. 5, the reporting Institution must maintain
a hard copy duplicate of all required statistical or other For purposes of these reports, data should be reported
bank regulatory data (such as FR 2004) that it submits for the entire legal entity that functions as the primary
electronically, unless, consistent with generally appli- dealer, including any subsidiaries that it consolidates in
cable revisions to the requirements for submitting the its regulatory reports (e.g., FOCUS or FOG). A pri-
particular report, the Institution is no longer required mary dealer that is a branch or agency of a foreign
to retain the hard copy. The hard copy must contain an banking organization should reflect the activity of the
GEN-2
January 2022 FR 2004
General Instructions
foreign bank, not just the branch or agency that is spe- tion. Activities and balances with counterparties not
cifically designated a primary dealer, unless otherwise included in the consolidation described above are
agreed to by FRBNY. external and should be reported.
Unless specified in these instructions, all activity and Positions, transactions, financing, and fails that occur
balances between consolidated entities included in the with unconsolidated affiliates and subsidiaries are
consolidation described above should be eliminated. reported as third-party transactions. Do not report
Positions, transactions, financing, and settlement fails internal trades, including trades between desks or
that occur between the branch or agency that is specifi- departments.
cally designated as a primary dealer and the head office
of the foreign bank or other banking branches or agen- Affiliates are companies under the control of the direct
cies of the foreign banking organization ( both domes- parent of the primary dealer. The following illustrates
tic and foreign) should be eliminated in the consolida- the FR 2004 consolidation rules.
Direct Parent
of Primary
Dealer
Trades between
consolidated and
unconsolidated entities
Company A are reportable
These entities
(Primary Dealer
are consolidated
Affiliate)
Primary with the primary
Dealer dealer
Company B Company C
(Not Affiliate of (Direct Subsidiary
Primary Dealer) of Primary Dealer)
GEN-3
FR 2004 January 2022
General Instructions
E. Submission of Reports 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.
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
II. What to Report
(FRBNY) will provide technical assistance to any Report all data in millions of dollars. Total all data for
respondent requiring guidance in creating files for sub- each cell before rounding. Do not report decimals or
mission via Reporting Central. See: https:// negative values in any cell except for those specific cells
www.frbservices.org/central-bank/reporting-central/ on the forms SI, SD, and WI, (net settled position, net
index.html for additional information on the outright position and net forward financing commit-
Reporting Central system. ments) where negative values may be reported. See the
specific instructions for those forms for further details.
If data cannot be transmitted via the Reporting Cen-
tral 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, A. Reportable Securities
FR 2004FA, FR 2004FB, FR 2004FC, or
Provided below are descriptions of reportable securi-
FR 2004FM deadline date) to: 212-720-5030 or 646-
ties by asset class. Portions of security identification
720-5030. Prior to faxing reports, please call FRBNY
numbers issued by the Committee on Uniform Secu-
Statistics Function at 212-720-7993 or 646-720-7993.
rity Identification Procedures (CUSIP), known as
Data that are faxed to FRBNY must subsequently be
‘‘roots,’’ can be helpful in identifying certain reportable
submitted via the Reporting Central system.
securities. Refer to the specific guidelines for each par-
ticular report for additional information.
Report Dates and Due Dates
Report weekly data as of the close of business each U.S. Treasury Securities (excluding TIPS)
Wednesday. Data should be submitted to the Federal
Reserve Bank of New York (FRBNY) each week no This includes bills, notes, bonds, and Separate Trading
later than 4:00 p.m. (Eastern Time) Thursday (Friday if of Registered Interest and Principal Securities
Thursday is a holiday). (STRIPS), both the interest-only (IO) and principal-
only (PO) components. It also includes Treasury Float-
Data for the FR 2004WI should be submitted no later ing Rate Notes (FRNs).
than 4:00 p.m. (Eastern Time) daily during a when-
issued period for the previous business day. The report-
ing of the FR 2004WI begins on the business day fol- U.S. Treasury Inflation-Protected Securities
lowing a financing announcement for positions as of (TIPS)
the close of business the day of the announcement.
The last report for a when-issued period is due on the This includes all U.S. Treasury securities that do not
settlement date for information as of close of business have a fixed principal. In addition, include STRIPS
the previous business day. (both the IO and PO components) where the underly-
ing security is a TIPS.
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 Federal Agency and Government Sponsored
following the applicable report as of date. Enterprise Securities (excluding MBS)
FR 2004SI information may be requested daily for This includes securities that are issued by, guaranteed
certain on-the-run or other securities on the by, or are the direct obligation of a federal agency or a
FR 2004SD report. Data for the FR 2004SD should be GSE that are not mortgage-backed securities (MBS).
GEN-4
January 2022 FR 2004
General Instructions
Federal Agency and GSE Mortgage-Backed • This includes all mortgage pass through securities
Securities backed by an undivided interest in a pool of loans
secured by 1-4 family residential properties, issued by
This includes: others (e.g., other depository institutions or insur-
ance companies, state and local housing authorities)
Residential Pass-Through Securities that are not issued or guaranteed by the U.S. govern-
• Residential mortgage pass-through securities backed ment. If the consolidated entity has issued private
by an undivided interest in a pool of loans secured by certificates of participation in a pool of its own resi-
1-4 family residential properties, guaranteed by the dential mortgages in a transaction that is not a
Government National Mortgage Association financing, any unsold certificates of participation are
(GNMA) or issued by the Federal National Mort- to be reported in this item. Also report all classes of
gage Corporation (FNMA) or the Federal Home CMOs, REMICs, CMO and REMIC residuals, and
Loan Mortgage Corporation (FHLMC). stripped mortgage-backed securities issued by non-
U.S. government issuers (e.g., other depository insti-
Other Residential Mortgage-Backed Securities tutions, insurance companies, state and local housing
authorities in the U.S.) for which the collateral does
• All classes of collateralized mortgage obligations not consist of GNMA (Ginnie Mae) pass-throughs,
(CMOs) and real estate mortgage investment con- FNMA (Fannie Mae) passthroughs, FHLMC (Fred-
duits (REMICs), CMO and REMIC residuals, and die Mac) participation certificates, or other residen-
stripped mortgage-backed securities issued by tial mortgage-backed securities (i.e., classes of
FNMA or FHLMC or guaranteed by GNMA. Also CMOs or REMICs, CMO or REMIC residuals, and
include REMICs issued by the U.S. Department of stripped mortgage-backed securities) issued FNMA,
Veterans Affairs (VA). FHLMC, GNMA, or VA.
• All classes of CMOs, REMICs, CMO and REMIC Commercial Mortgage-Backed Securities
residuals, and stripped mortgage-backed securities
issued by non-U.S. government issuers (e.g., other • This includes all CMOs, REMICs, CMO and
depository institutions, insurance companies, state REMIC residuals, and stripped mortgage-backed
and local housing authorities in the U.S.) for which securities backed by loans secured by properties
the collateral consists of GNMA (Ginnie Mae) pass- other than 1-4 family residential properties that have
throughs, FNMA (Fannie Mae) pass-throughs, been issued or guaranteed by non-U.S. government
FHLMC (Freddie Mac) participation certificates, or issuers.
other mortgage-backed securities (i.e., classes of
CMOs or REMICs, CMO or REMIC residuals, and Corporate Securities
stripped mortgage-backed securities) issued or guar-
anteed by FNMA, FHLMC, GNMA, or VA. This includes U.S. dollar-denominated debt securities
issued by corporations incorporated in the fifty states
Commercial Mortgage-Backed Securities of the United States and the District of Columbia
including:
• Commercial mortgage securities backed by an undi-
vided interest in a pool of loans secured by proper- • bonds, notes, debentures
ties other than 1-4 family residential properties,
• commercial paper including ABS-backed commer-
issued by GNMA, FNMA or FHLMC. Also include
cial paper
CMBS guaranteed by the Small Business
Administration. • covered bonds
Non Agency Mortgage-Backed Securities • Detached U.S. government security coupons and
ex-coupon U.S. government securities reissued as
This includes: Treasury receipts representing rights to the future
payments held by a trustee. These instruments have
Residential Mortgage-Backed Securities been developed by several securities firms and mar-
GEN-5
FR 2004 January 2022
General Instructions
kets under names such as CATS, TIGRS, COU- ward financing commitments are reportable (on the
GAR, and LION. FR 2004WI)
• Privately placed securities (e.g., 144a Securities)
C. Allotments of New Securities
State and Municipal Government Obligations
Report the position taken in a new U.S. Treasury or
Includes debt securities issued by states and political MBS security allotment. Include allotments that are
subdivisions in the U.S. including the District of awarded on a report date in that day’s positions. How-
Columbia. This includes their counties, municipalities, ever, do not report any transaction with an issuer used
school districts, irrigation, drainage, and sewer dis- to book a position in a new security (whether for the
tricts. Also include securities issued by the government reporting entity’s own portfolio or on behalf of a
of Puerto Rico and of the U.S. territories and posses- customer).
sions and their political subdivisions. Include
Purchases from issuers of new debt, including debt
• General obligations purchased as part of an existing facility, medium term
• Revenue obligations note program or debt purchased through reverse
inquiry are excluded. Purchases from and sales to the
• Industrial development and similar obligations FRBNY are not allotments.
GEN-6
January 2022 FR 2004
INSTRUCTIONS FOR PREPARATION OF
A-1
FR 2004 January 2022
FR 2004A
Item 1f Coupons due in more than 6 years but less Item 3 Federal Agency and GSE Securities (excluding
than or equal to 7 years. MBS)
Report in the appropriate columns outright positions
in U.S. Treasury securities (excluding TIPS) with cou- Item 3a Discount notes.
pons due in more than 6 years but less than or equal to Report in the appropriate columns outright positions
7 years. in federal agency and GSE discount notes.
Item 1g Coupons due in more than 7 years but less Item 3b Coupons.
than or equal to 11 years. Report in the appropriate columns outright positions
Report in the appropriate columns outright positions in federal agency and GSE coupon securities.
in U.S. Treasury securities (excluding TIPS) with cou-
pons due in more than 7 years but less than or equal to Item 4 Mortgage-Backed Securities (MBS)
11 years.
Item 4a Federal Agency and GSE Residential
Item 1h Coupons due in more than 11 years but less Pass-Through MBS TBA.
than or equal to 21 years. Report in the appropriate columns outright positions
Report in the appropriate columns outright positions in federal agency and GSE residential pass- through
in U.S. Treasury securities (excluding TIPS) with cou- MBS TBA securities. Include securities guaranteed by
pons due in more than 11 years but less than or equal GNMA and issued by FNMA and FHLMC.
to 21 years.
Item 4b Federal Agency and GSE Residential
Item 1i Coupons due in more than 21 years. Pass-Through MBS Specified Pool.
Report in the appropriate columns outright positions Report in the appropriate columns outright positions
in U.S. Treasury securities (excluding TIPS) with cou- in federal agency and GSE residential pass- through
pons due in more than 21 years. MBS Specified Pool securities. Include securities guar-
anteed by GNMA and issued by FNMA and
Item 2 U.S. Treasury Inflation-Protected Securities FHLMC.
(TIPS)
Item 4c All Other Federal Agency and GSE
Item 2a TIPS due in less than or equal to 2 years. Residential MBS.
Report in the appropriate columns outright positions Report in the appropriate columns outright positions
in TIPS due in less than or equal to 2 years. in other federal agency and GSE residential MBS secu-
rities. Include securities guaranteed by GNMA and
Item 2b TIPS due in more than 2 years but less than issued by FNMA and FHLMC. Include CMOs,
or equal to 6 years. REMICs, and stripped MBS, such as IOs and POs.
Report in the appropriate columns outright positions
in TIPS due in more than 2 years but less than or equal Item 4d Federal Agency and GSE Commercial MBS
to 6 years. (CMBS).
Report in the appropriate columns outright positions
Item 2c TIPS due in more than 6 years but less than in federal agency and GSE commercial MBS securities.
or equal to 11 years. Include securities guaranteed by GNMA and issued by
Report in the appropriate columns outright positions FNMA and FHLMC. Also include CMBS guaranteed
in TIPS due in more than 6 years but less than or equal by the Small Business Administration.
to 11 years.
Item 4e Non-Agency Residential MBS.
Item 2d TIPS due in more than 11 years. Report in the appropriate columns outright positions
Report in the appropriate columns outright positions in residential MBS securities that have been issued by
in TIPS due in more than 11 years. non-U.S. Government issuers (e.g., other depository
A-2
January 2022 FR 2004
FR 2004A
institutions, insurance companies, state and local hous- internal ratings are available, the internal definitions
ing authorities in the U.S.) that are not guaranteed by may be used. If several public ratings are available, the
the U.S. government. Include CMOs, REMICS, and lowest of the ratings should be used for reporting.
stripped MBS, such as IOs and POs.
Item 5d Investment Grade Bonds, Notes, and
Item 4f Other Commercial MBS. Debentures due in more than five years but in less than
or equal to 10 years.
Report in the appropriate columns outright positions
in commercial MBS securities that have been issued or Report in the appropriate columns outright positions
guaranteed by non-U.S. Government issuers (e.g., in dollar denominated bonds, notes, debentures and
other depository institutions, insurance companies, equipment trust certificates that are rated investment
state and local housing authorities in the U.S.). Include grade (BBB or better) and are due in more than five
CMOs, REMICS, and stripped MBS, such as IOs years but in less than or equal to 10 years. Report
and POs. according to the current rating, not the rating at incep-
tion. If no public ratings are available, but internal rat-
Item 5 Corporate Securities. ings 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 5a Commercial Paper.
Report in the appropriate columns outright positions Item 5e Investment Grade Bonds, Notes, and
in dollar denominated commercial paper including Debentures due in more than 10 years.
unsecured and asset-backed commercial paper (ABCP) Report in the appropriate columns outright positions
issued by U.S. entities. Exclude commercial paper in dollar denominated bonds, notes, debentures and
issued by states and political subdivisions in the U.S. equipment trust certificates that are rated investment
(report those items in Line 6). grade (BBB or better) and are due in more than
10 years. Report according to the current rating, not
Item 5b Investment Grade Bonds, Notes, and the rating at inception. If no public ratings are avail-
Debentures due in less than or equal to 13 months. able, but internal ratings are available, the internal defi-
Report in the appropriate columns outright positions nitions may be used. If several public ratings are avail-
in dollar denominated bonds, notes, debentures and able, the lowest of the ratings should be used for
equipment trust certificates that are rated investment reporting.
grade (BBB or better) and due in 13 months or less.
Item 5f Below Investment Grade Bonds, Notes, and
Report according to the current ratings, not the ratings Debentures due in less than or equal to 13 months.
issued at inception. If no public ratings are available, Report in the appropriate columns outright positions
but internal ratings are available, the internal defini- in dollar denominated bonds, notes, debentures and
tions may be used. If several public ratings are avail- equipment trust certificates that are rated below invest-
able, the lowest of the ratings should be used for ment grade (BB+ or lower) and due in less than or
reporting. equal to 13 months.
Item 5c Investment Grade Bonds, Notes, and Report according to the current rating, not the rating
Debentures due in more than 13 months but in less than at inception. If no public ratings are available, the
or equal to five years. internal definitions may be used. If several public rat-
Report in the appropriate columns outright positions ings are available, the lowest of the ratings should be
in dollar denominated bonds, notes, debentures and used for reporting.
equipment trust certificates that are rated investment Item 5g Below Investment Grade Bonds, Notes, and
grade (BBB or better) and are due in greater than Debentures due in more than 13 months but in less than
13 months but in less than or equal to five years. or equal to five years.
Report according to the current rating, not the rating Report in the appropriate columns outright positions
at inception. If no public ratings are available, but in dollar denominated bonds, notes, debentures and
A-3
FR 2004 January 2022
FR 2004A
equipment trust certificates that are rated below invest- more than 13 months but in less than or equal to five
ment grade (BB+ or lower) and due in more than years. Include taxable municipal obligations. Do not
13 months but in less than or equal to five years. include positions reported on Line 6e.
Report according to the current rating, not the rating
at inception. If no public rating are available, the inter- Item 6c State and Municipal Government Obligations
nal definitions may be used. If several public ratings due in more than five years but in less than or equal to
are available, the lowest of the ratings should be used 10 years.
for reporting. Report in the appropriate columns outright positions
in state and municipal government obligations due in
Item 5h Below Investment Grade Bonds, Notes, and
more than five years but in less than or equal to
Debentures due in more than five years but in less than
10 years. Include taxable municipal obligations. Do not
or equal to ten years.
include positions reported on Line 6e.
Report in the appropriate columns outright positions
in dollar denominated bonds, notes, debentures and Item 6d State and Municipal Government Obligations
equipment trust certificates that are rated below invest- due in more than ten years.
ment grade (BB+ or lower) and due in more than five
Report in the appropriate columns outright positions
years but in less than or equal to ten years. Report
in state and municipal government obligations due in
according to the current rating, not the rating at incep-
more than ten years. Include taxable municipal obliga-
tion. If no public rating are available, the internal defi-
tions. Do not include positions reported on Line 6e.
nitions may be used. If several public ratings are avail-
able, the lowest of the ratings should be used for
Item 6e State and Municipal Government Obligations
reporting.
Variable Rate Demand Notes (VRDNs).
Item 5i Below Investment Grade Bonds, Notes, and Report in the appropriate columns outright positions
Debentures due in more than ten years. in variable rate state and municipal government obliga-
Report in the appropriate columns outright positions tions of any maturity. VRDNs are floating rate obliga-
in dollar denominated bonds, notes, debentures and tions that have a long term maturity but have a coupon
equipment trust certificates that are rated below invest- rate that resets periodically. Also include auction rate
ment grade (BB+ or lower) and due in more than ten securities, inverse floaters, and lower floaters. Do not
years. Report according to the current rating, not the report auction rate preferred securities issued by bond
rating at inception. If no public rating are available, the funds.
internal definitions may be used. If several public rat-
ings are available, the lowest of the ratings should be Item 7 Asset-Backed Securities
used for reporting.
Item 7a Credit Card-Backed Securities.
Item 6 State and Municipal Government Obligations. Report in the appropriate columns outright positions
Item 6a State and Municipal Government Obligations in asset-backed securities collateralized predominantly
due in less than or equal to 13 months. by credit card receivables, i.e., extensions of credit to
individuals for household, family, and other personal
Report in the appropriate columns outright positions
expenditures arising from credit cards.
in state and municipal government obligations due in
less than or equal to 13 months. Include municipal
Item 7b Student Loan-Backed Securities.
commercial paper as well as taxable municipal obliga-
tions. Do not include positions reported on Line 6e. Report in the appropriate columns outright positions
in asset-backed securities collateralized predominantly
Item 6b State and Municipal Government Obligations by student loans.
due in more than 13 months but in less than or equal to
five years. Item 7c Automobile Loan-Backed Securities.
Report in the appropriate columns outright positions Report in the appropriate columns outright positions
in state and municipal government obligations due in in asset-backed securities collateralized predominantly
A-4
January 2022 FR 2004
FR 2004A
by automobile loans, i.e., loans to individuals for the date for each IO component, and to the redemption
purpose of purchasing private passenger vehicles, date for the PO component. For example, report a
including minivans, vans, SUVs, pickup trucks, and stripped 30-year U.S. Treasury bond with 60 coupon
similar light trucks for personal use. payments (two interest payments per year; 60 IO com-
ponents) as follows:
Item 7d Other Asset-Backed Securities.
• The sum of the first 4 IO components in line 1c (U.S.
Report in the appropriate columns outright positions Treasury Coupons due in less than or equal to
in asset-backed securities collateralized predominantly 2 years);
by loans other than those listed in 7a-7c including
CLOs. Do not include MBS. • The sum of the next 2 IO components in line 1d (U.S.
Treasury Coupons due in more than 2 years but less
Item 8 Total. than or equal to 3 years);
Report the sums of items 1 through 7. • The sum of the next 6 IO components in line 1e (U.S.
Treasury Coupons due in more than 3 years but less
Maturity Classifications than or equal to 6 years);
Report U.S. Treasury, Corporate, and State and
• The sum of the next 2 IO components in line 1f (U.S.
Municipal securities in the appropriate maturity classi-
Treasury Coupons due in more than 6 years but less
fication row on the FR 2004A based on remaining
than or equal to 7 years);
maturity. As the remaining maturity decreases, the
security is shifted from one maturity classification to • The sum of the next 8 IO components in line 1g (U.S.
another. If the shift occurs on a Wednesday, categorize Treasury Coupons due in more than 7 years but less
the security in the new maturity classification row on than or equal to 11 years);
that Wednesday’s report.
• The sum of the next 20 IO components in line 1h
When-issued securities should be categorized based on (U.S. Treasury Coupons due in more than 11 years
the time remaining to maturity calculated from the but less than or equal to 21 years);
issue date (e.g., a when-issued, 2-year U.S. Treasury
• The sum of the remaining 18 IO components and the
note should be reported in line 1b, U.S. Treasury Secu-
PO component in line 1i (U.S. Treasury Coupons due
rities: Coupons due in less than or equal to 2 years).
in more than 21 years).
STRIPS and other stripped securities should be cat-
egorized based on the time remaining to the payment
A-5
FR 2004 January 2022
INSTRUCTIONS FOR PREPARATION OF
B-1
FR 2004 January 2022
FR 2004B
Line-by-Line Instructions Item 1h Coupons due in more than 11 years but less
than or equal to 21 years.
For each item, report transactions with inter-dealer Report in the appropriate columns transactions in U.S.
brokers in column 1 and transactions with others in Treasury securities (excluding TIPS) with coupons due
column 2. For further description on reportable securi- in more than 11 years but less than or equal to 21 years.
ties see Section II. A “What to Report - Reportable
Securities.”
Item 1i Coupons due in more than 21 years.
Line Caption and Instructions Report in the appropriate columns transactions in U.S.
Treasury securities (excluding TIPS) with coupons due
Item 1 U.S. Treasury Securities (excluding TIPS) in more than 21 years.
Item 1c Coupons due in less than or equal to 2 years. Item 2b TIPS due in more than 2 years but less than
Report in the appropriate columns transactions in U.S. or equal to 6 years.
Treasury securities (excluding TIPS) with coupons due Report in the appropriate columns transactions in
in less than or equal to 2 years. TIPS due in more than 2 years but less than or equal to
6 years.
Item 1d Coupons due in more than 2 years but less
than or equal to 3 years. Item 2c TIPS due in more than 6 years but less than
Report in the appropriate columns transactions in U.S. or equal to 11 years.
Treasury securities (excluding TIPS) with coupons due Report in the appropriate columns transactions in
in more than 2 years but less than or equal to 3 years. TIPS due in more than 6 years but less than or equal to
11 years.
Item 1e Coupons due in more than 3 years but less
than or equal to 6 years.
Item 2d TIPS due in more than 11 years.
Report in the appropriate columns transactions in U.S.
Treasury securities (excluding TIPS) with coupons due Report in the appropriate columns transactions in
in more than 3 years but less than or equal to 6 years. TIPS due in more than 11 years.
Item 1f Coupons due in more than 6 years but less Item 3 Federal Agency and GSE Securities (excluding
than or equal to 7 years. MBS)
Report in the appropriate columns transactions in U.S.
Treasury securities (excluding TIPS) with coupons due Item 3a Discount notes.
in more than 6 years but less than or equal to 7 years.
Report in the appropriate columns transactions in fed-
Item 1g Coupons due in more than 7 years but less eral agency and GSE discount notes.
than or equal to 11 years.
Report in the appropriate columns transactions in U.S. Item 3b Coupons.
Treasury securities (excluding TIPS) with coupons due Report in the appropriate columns transactions in fed-
in more than 7 years but less than or equal to 11 years. eral agency and GSE coupon securities.
B-2
January 2022 FR 2004
FR 2004B
Item 4 Mortgage-Backed Securities FNMA and FHLMC. Also include CMBS guaranteed
by the Small Business Administration.
Item 4a Federal Agency and GSE Residential
Pass-Through MBS TBA Cash transactions. Item 4g Non-Agency Residential MBS.
Report in the appropriate columns MBS TBA cash Report in the appropriate columns transactions in resi-
transactions as well as other transactions not reported dential MBS securities that have been issued by non-
separately in Line 4b in MBS TBA pass-through U.S. Government issuers (e.g., other depository institu-
securities. tions, insurance companies, state and local housing
authorities in the U.S.) that are not guaranteed by the
Item 4b Federal Agency and GSE Residential U.S. government. Include CMOs, REMICS, and
Pass-Through MBS TBA Dollar roll transactions. stripped MBS, such as IOs and POs.
Report in the appropriate columns dollar roll transac-
tions in Federal Agency and GSE Pass-through MBS Item 4h Other Commercial MBS.
TBA securities. A dollar roll is a transaction involving Report in the appropriate columns transactions in
the purchase or sale of an MBS pass-through security commercial MBS securities that have been issued or
for delivery in the current month with a simultaneous guaranteed by non-U.S. Government issuers (e.g.,
agreement to resell or repurchase substantially similar other depository institutions, insurance companies,
securities in the future at a specified price. state and local housing authorities in the U.S.). Include
CMOs, REMICS, and stripped MBS, such as IOs
Item 4c Federal Agency and GSE Residential and POs.
Pass-Through MBS Specified Pool Cash transactions.
Report in the appropriate columns MBS Specified Item 5 Corporate Securities
Pool cash transactions as well as other transactions not
reported separately in Line 4d in MBS Specified Pool Item 5a Commercial Paper.
pass-through securities. Report in the appropriate columns transactions in dol-
lar denominated commercial paper including unse-
Item 4d Federal Agency and GSE Residential cured and asset-backed commercial paper (ABCP)
Pass-Through MBS Specified Pool Dollar roll issued by U.S. entities. Do not include commercial
transactions. paper issued by states and political subdivisions in the
Report in the appropriate columns dollar roll transac- U.S. (report those items in Item 6).
tions in Federal Agency and GSE Pass-through MBS
Specified Pool securities. A dollar roll is a transaction Item 5b Investment Grade Bonds, Notes, and
involving the purchase or sale of an MBS pass-through Debentures due in less than or equal to 13 months.
security for delivery in the current month with a simul- Report in the appropriate columns transactions in dol-
taneous agreement to resell or repurchase substantially lar denominated bonds, notes, debentures and equip-
similar securities in the future at a specified price. ment trust certificates that are rated investment grade
(BBB or better) and due in 13 months or less.
Item 4e All Other Federal Agency and GSE Report according to current ratings, not the ratings
Residential MBS. issued at inception. If no public ratings are available,
Report in the appropriate columns transactions in the internal definitions may be used. If several public
other federal agency and GSE-issued residential MBS ratings are available, the lowest of the ratings should be
including CMOs, REMICS, and stripped MBS, such used for reporting.
as IOs and POs.
Item 5c Investment Grade Bonds, Notes, and
Item 4f Federal Agency and GSE CMBS. Debentures due in more than 13 months but in less than
Report in the appropriate columns transactions in fed- or equal to five years.
eral agency and GSE commercial MBS securities. Report in the appropriate columns transactions in dol-
Include securities guaranteed by GNMA and issued by lar denominated bonds, notes, debentures and equip-
B-3
FR 2004 January 2022
FR 2004B
ment trust certificates that are rated investment grade Report according to the current ratings, not the ratings
(BBB or better) and are due in more than 13 months issued at inception. If no public ratings are available,
but in less than or equal to five years. but internal ratings are available, the internal defini-
tions may be used. If several public ratings are avail-
Report according to the current ratings, not the ratings
able, the lowest of the ratings should be used for
issued at inception. If no public ratings are available,
reporting.
but internal ratings are available, the internal defini-
tions may be used. If several public ratings are avail-
Item 5g Below Investment Grade Bonds, Notes, and
able, the lowest of the ratings should be used for
Debentures due in more than 13 months but less than or
reporting.
equal to five years.
Report in the appropriate columns transactions in dol-
Item 5d Investment Grade Bonds, Notes, and lar denominated bonds, notes, debentures and equip-
Debentures due in more than five years but in less than ment trust certificates that are rated below investment
or equal to 10 years. grade (BB+ or lower) that are due in more than
Report in the appropriate columns transactions in dol- 13 months but in less than or equal to five years.
lar denominated bonds, notes, debentures and equip- Report according to the current ratings, not the ratings
ment trust certificates that are rated investment grade issued at inception. If no public ratings are available,
(BBB or better) and are due in more than five years but but internal ratings are available, the internal defini-
in less than or equal to 10 years. tions may be used. If several public ratings are avail-
Report according to the current ratings, not the ratings able, the lowest of the ratings should be used for
issued at inception. If no public ratings are available, reporting.
but internal ratings are available, the internal defini-
tions may be used. If several public ratings are avail- Item 5h Below Investment Grade Bonds, Notes, and
able, the lowest of the ratings should be used for Debentures due in more than five years but in less than
reporting. or equal to 10 years.
Report in the appropriate columns transactions in dol-
lar denominated bonds, notes, debentures and equip-
Item 5e Investment Grade Bonds, Notes, and ment trust certificates that are rated below investment
Debentures due in more than 10 years. grade (BB+ or lower) that are due in more than five
Report in the appropriate columns transactions in dol- years but in less than or equal to 10 years.
lar denominated bonds, notes, debentures and equip-
ment trust certificates that are rated investment grade Report according to the current ratings, not the ratings
(BBB or better) and are due in more than 10 years. issued at inception. If no public ratings are available,
but internal ratings are available, the internal defini-
Report according to the current ratings, not the ratings tions may be used. If several public ratings are avail-
issued at inception. If no public ratings are available, able, the lowest of the ratings should be used for
but internal ratings are available, the internal defini- reporting.
tions may be used. If several public ratings are avail-
able, the lowest of the ratings should be used for Item 5i Below Investment Grade Bonds, Notes, and
reporting. Debentures due in more than 10 years.
Report in the appropriate columns transactions in dol-
Item 5f Below Investment Grade Bonds, Notes, and lar denominated bonds, notes, debentures and equip-
Debentures due in less than or equal to 13 months. ment trust certificates that are rated below investment
grade (BB+ or lower) that are due in more than
Report in the appropriate columns transactions in dol-
10 years.
lar denominated bonds, notes, debentures and equip-
ment trust certificates that are rated below investment Report according to the current ratings, not the ratings
grade (BB+ or lower) that are due in less than or equal issued at inception. If no public ratings are available,
to 13 months. but internal ratings are available, the internal defini-
B-4
January 2022 FR 2004
FR 2004B
tions may be used. If several public ratings are avail- Item 7 Asset-Backed Securities
able, the lowest of the ratings should be used for
reporting. Item 7a Credit Card-Backed Securities.
Report in the appropriate columns transactions in
Item 6 State and Municipal Government Obligations. asset-backed securities collateralized predominantly by
credit card receivables, i.e., extensions of credit to indi-
Item 6a State and Municipal Government Obligations viduals for household, family, and other personal
due in less than or equal to 13 months. expenditures arising from credit cards.
Report in the appropriate columns transactions in state
and municipal government obligations due in less than Item 7b Student Loan-Backed Securities.
or equal to 13 months. Include municipal commercial Report in the appropriate columns transactions in
paper as well as taxable municipal obligations. Do not asset-backed securities collateralized predominantly by
include transactions reported on Line 6e. student loans.
Item 6b State and Municipal Government Obligations Item 7c Automobile Loan-Backed Securities.
due in more than 13 months but in less than or equal to Report in the appropriate columns transactions in
five years. asset-backed securities collateralized predominantly by
Report in the appropriate columns transactions in state auto-mobile loans, i.e., loans to individuals for the pur-
and municipal government obligations due in more pose of purchasing private passenger vehicles, includ-
than 13 months but in less than or equal to five years. ing minivans, vans, SUVs, pickup trucks, and similar
Include taxable municipal obligations. Do not include light trucks for personal use.
transactions reported on Line 6e.
Item 7d Other Asset-Backed Securities.
Item 6c State and Municipal Government Obligations Report in the appropriate columns transactions in
due in more than five years but in less than or equal to asset-backed securities collateralized predominantly by
10 years. loans other than those listed in 7a-7c including CLOs.
Report in the appropriate columns transactions in state Do not include MBS.
and municipal government obligations due in more
than five years but in less than or equal to 10 years. Item 8 Total (Lines 1 through 7)
Include taxable municipal obligations. Do not include
transactions reported on Line 6e. Maturity Classifications
Report U.S. Treasury, Corporate, State and Municipal
Item 6d State and Municipal Government Obligations securities in the appropriate maturity classification row
due in more than 10 years. on the FR 2004B based on remaining maturity. As the
Report in the appropriate columns transactions in state remaining maturity decreases, the security is shifted
and municipal government obligations due in more from one maturity classification to another. If the shift
than 10 years. Include taxable municipal obligations. occurs on a Wednesday, categorize the security in the
Do not include transactions reported on Line 6e. new maturity classification row on that Wednesday’s
report.
Item 6e State and Municipal Government Obligations
Variable Rate Demand Notes (VRDNs). When-issued securities should be categorized based on
the time remaining to maturity calculated from the
Report in the appropriate columns transactions in vari-
issue date (e.g., a when-issued, 2-year U.S. Treasury
able rate state and municipal government obligations
note should be reported in line 1b, U.S. Treasury Secu-
of any maturity. VRDNs are floating rate obligations
rities: Coupons due in less than or equal to 2 years).
that have a long term maturity but have a coupon rate
that resets periodically. Also include auction rate secu- STRIPS and other stripped securities should be cat-
rities, inverse floaters, and lower floaters. Do not report egorized based on the time remaining to the payment
auction rate preferred securities issued by bond funds. date for each IO component, and to the redemption
B-5
FR 2004 January 2022
FR 2004B
date for the PO component. For example, report a • The sum of the next 20 IO components in line 1h
stripped 30-year (U.S. Treasury Coupons due in more than 11 years
but less than or equal to 21 years);
U.S. Treasury bond with 60 coupon payments (two
interest payments per year; 60 IO components) as • The sum of the remaining 18 IO components and the
follows: PO component in line 1i (U.S. Treasury Coupons due
in more than 21 years).
• The sum of the first 4 IO components in line 1c (U.S.
Treasury Coupons due in less than or equal to
2 years);
Cancels and Corrections
• The sum of the next 2 IO components in line 1d (U.S. When cancels and corrections to prior period
Treasury Coupons due in more than 2 years but less FR 2004B data occur, they may be corrected by reduc-
than or equal to 3 years); ing or increasing the next period’s transactions by the
• The sum of the next 6 IO components in line 1e (U.S. amount of the correction. The revisions cannot be
Treasury Coupons due in more than 3 years but less applied to the next period’s transactions if the cancel-
than or equal to 6 years); lation or correction from the prior period results in a
negative amount in the next period’s transactions. In
• The sum of the next 2 IO components in line 1f (U.S. that case, a revised report for the prior period should
Treasury Coupons due in more than 6 years but less be submitted. Instances where the subsequent adjust-
than or equal to 7 years); ment distorts the next period’s data significantly may
• The sum of the next 8 IO components in line 1g (U.S. require a restatement to be submitted.
Treasury Coupons due in more than 7 years but less
than or equal to 11 years);
B-6
January 2022 FR 2004
INSTRUCTIONS FOR PREPARATION OF
Accounting Rules Report the actual funds paid or received. If only securi-
ties are exchanged, report the fair (market) value of the
securities pledged.
Securities Financings—Report repurchase and reverse
repurchase agreement financing (including General Report on a gross basis; do not net borrowings against
Collateral Financing (GCF) settled using FICC) as loans. (FIN 41 does not apply to this report.)
well as other collateralized financing that is outstand- Settlement Fails—Report settlement fails from cash
ing as-of the FR 2004C report date using settlement and financing transactions, including aged fails, at
date accounting. A repurchase agreement is a contract principal value, excluding accrued interest. Report
involving the “sale” of financial assets by one party to financing transactions that fail at the amount that was
another, subject to an agreement by the “seller” to to be paid or received on the day the failed trade was to
repurchase the assets at a specified date or in specified be settled.
circumstances. A reverse repurchase agreement (also
known as a resale agreement) is a contract involving Report on a cumulative basis (including weekends and
the “purchase” of financial assets by one party from holidays) for the reporting period only. Failed transac-
another, subject to an agreement by the “purchaser” to tions that are outstanding two days or more should be
resell the assets at a specified date or in specified cir- summed each day they are outstanding during the
cumstances. Include all financing arrangements where reporting period. Also include in line 6d (Federal
the underlying collateral are: Agency and GSE mortgage-backed securities fails)
TBA MBS when the settlement date is delayed beyond
• U.S. Treasury Securities including TIPS, STRIPS, the contractual settlement date.
and Floating Rate Notes (FRNs).
Do not add fails that were outstanding in a prior
• Federal Agency and GSE Securities (exclud- reporting period to the cumulative total calculated for
ing MBS) the current reporting period. For example, report a fail
• Federal Agency and GSE Residential and Commer- of $1 million that began on Tuesday in reporting
cial MBS period 1 and is delivered on Friday of reporting
period 2 as:
• Corporate Debt including commercial paper
• $2 million for reporting period 1; and
• Asset-backed Securities
• $1 million (Thursday only) for reporting period 2.
• Equities
• All Other dollar denominated, debt instruments used
Types of Financing
as collateral including non-Agency or GSE-issued Sections 1–3: Repurchase and Reverse
MBS, CMOs, REMICS, and State and Municipal
securities. Do not include financing arrangements Repurchase Agreements
where the underlying collateral consists of interna-
tional securities, whole loans, or money market
Line-by-Line Instructions
instruments such as negotiable CDs and bankers For each item, report repurchase and reverse repur-
acceptances. chase agreements in columns 1–21 classified by the
C-1
FR 2004 January 2022
FR 2004C
clearing/settlement arrangement for each transaction. • Columns 1, 4, 7, 10, 13, 16, 19 Overnight and Continu-
For bilateral repurchase and reverse repurchase agree- ing. An overnight financing agreement is an agree-
ments, dealers are instructed to report specific and gen- ment that settles on one business day and matures on
eral transactions separately. Specific transactions are the next business day. A continuing contract agree-
transactions where collateral is identified before the ment is an agreement that remains in effect for more
rate is agreed to by the counterparties, as in a bid for or than one business day, but has no specific maturity
offer of a particular CUSIP. General transactions are and can be terminated on demand by either the bor-
transactions where the parties agree to borrow/lend rower or the lender.
any member of a class of securities (such as “a Treas-
• Columns 2, 5, 8, 11, 14, 17, 20 Term Agreements (less
ury issue” or “a Treasury issue no longer than 10 years
than 30 days). A term agreement with an original
to maturity”), where the specific collateral in the trans-
fixed maturity of more than one day but less than
action to be delivered pursuant to the agreement is
30 days that is not a continuing contract.
identified after the class and rate are negotiated.
• Columns 3, 6, 9, 12, 15, 18, 21 Term Agreements
Columns 1–6 Uncleared bilateral. An uncleared bilat- (30 days or greater). A term agreement with an origi-
eral financing arrangement is conducted outside any nal fixed maturity of more than 30 days that is not a
central clearing firm or platform. The counterparties continuing contract.
to the transaction are responsible for the exchange of
securities and funds. Report specific, uncleared bilat- Item 1 Repurchase Agreements
eral repurchase and reverse repurchase agreements in
columns 1, 2, and 3 and general, uncleared bilateral Item 1a Repurchase Agreements U.S. Treasury
repurchase and reverse repurchase agreements in col- Securities (excluding TIPS).
umn 4, 5, and 6.
Report repurchase agreements where the collateral
Columns 7–15 Cleared bilateral. A cleared bilateral provided to the lender is U.S. Treasury bills, coupon
financing arrangement is negotiated between two securities, and Floating Rate Notes (FRNs) including
counterparties and then subsequently submitted to a those with the FRBNY. Include matched sale-purchase
central clearing bank or platform for settlement (e.g., agreements, or any form of synthetic equivalents.
FICC DVP). Report specific, cleared bilateral repur-
chase and reverse repurchase agreements in col- Item 1b Repurchase Agreements U.S. Treasury
umns 7–9 and general, cleared bilateral repurchase and Inflation-Protected Securities (TIPS).
reverse repurchase agreements in columns 10–12. Bilat- Report repurchase agreements where the collateral
eral repurchase and reverse repurchase agreements provided to the lender is U.S. TIPS, including those
submitted by a primary dealer to FICC DVP as a spon- with the FRBNY. Include matched sale-purchase
sored transaction for clients should be separately agreements, or any form of synthetic equivalents.
reported in columns 13–15.
Item 1c Repurchase Agreements Federal Agency and
Columns 16–18 GCF Repo Service. Report repurchase GSE Securities (excluding MBS).
and reverse repurchase agreements that are centrally- Report repurchase agreements where the collateral
cleared using the FICC GCF Repo Service. provided to the lender are U.S. Agency and GSE
Columns 19–21 Tri Party Repo. Report repurchase and debentures, including those with the FRBNY. Include
reverse repurchase agreements that are transacted and matched sale-purchase agreements, or any form of
administered through a central triparty agent bank synthetic equivalents.
that serves as intermediary to the transactions. Exclude
GCF transactions reported in columns 16–18. Item 1d Repurchase Agreements Federal Agency and
GSE Residential MBS Securities.
For each item, report repurchase and reverse repur- Report repurchase agreements where the collateral
chase agreements in columns 1–21 according to the provided to the lender are U.S. Agency and GSE Resi-
contract term as follows: dential MBS securities, including those with the
C-2
January 2022 FR 2004
FR 2004C
FRBNY. Include dollar repurchase agreements, including those with the FRBNY. Include matched
matched sale-purchase agreements, or any form of sale-purchase agreements, or any form of synthetic
synthetic equivalents. equivalents.
Item 1e Repurchase Agreements Federal Agency and Item 2b Reverse Repurchase Agreements U.S. Treasury
GSE Commercial MBS Securities. Inflation-Protected Securities (TIPS).
Report repurchase agreements where the collateral Report reverse repurchase agreements where the collat-
provided to the lender are U.S. Agency and GSE Com- eral provided by the borrower is U.S. TIPS, including
mercial MBS securities, including those with the those with the FRBNY. Include matched sale-purchase
FRBNY. Include matched sale-purchase agreements, agreements, or any form of synthetic equivalents.
or any form of synthetic equivalents.
Item 2c Reverse Repurchase Agreements Federal
Item 1f Repurchase Agreements Corporate Debt. Agency and GSE Securities (excluding MBS).
Report repurchase agreements where the collateral Report reverse repurchase agreements where the collat-
provided to the lender is dollar denominated corporate eral provided by the borrower are U.S. Agency and
debt as defined for these forms, including those with GSE debentures, including those with the FRBNY.
the FRBNY. Include matched sale-purchase agree- Include matched sale purchase agreements, or any
ments, or any form of synthetic equivalents. form of synthetic equivalents.
C-3
FR 2004 January 2022
FR 2004C
asset-backed securities as defined for these forms, Item 4 Other Financing Activity-Securities Lent
including those with the FRBNY. Include matched
sale-purchase agreements, or any form of synthetic Item 4a Other Financing Activity-Securities Lent
equivalents. U.S. Treasury Securities (excluding TIPS).
Report other securities financing activities where the
Item 2h Reverse Repurchase Agreements Equities. collateral provided to the lender is U.S. Treasury bills,
coupon securities, and Floating Rate Notes (FRNs),
Report reverse repurchase agreements where the collat-
including those with the FRBNY. Include securities
eral provided by the borrower is dollar denominated
lent for cash, securities pledged by the reporting entity
equities, including those with the FRBNY. Include
to secure a borrowing of other securities, and other
matched sale-purchase agreements, or any form of
forms of collateralized financing agreements, including
synthetic equivalents.
cash received from a collateralized loan.
Item 2i Reverse Repurchase Agreements Other Item 4b Other Financing Activity-Securities Lent
Collateral. U.S. Treasury Inflation Protected Securities (TIPS).
Report reverse repurchase agreements where the collat- Report other securities financing activities where the
eral provided by the borrower is other dollar denomi- collateral provided to the lender is U.S. TIPS securities,
nated collateral as specified above, including those with including those with the FRBNY. Include TIPS lent
the FRBNY. Include matched sale-purchase agree- for cash, TIPS pledged by the reporting entity to secure
ments, or any form of synthetic equivalents. a borrowing of other securities, and other forms of
collateralized financing agreements, including cash
Item 3 Total. received from a loan collateralized with TIPS.
Report the sum of items 1–2. Item 4c Other Financing Activity-Securities Lent
U.S. Federal Agency and GSE Securities
(excluding MBS).
Sections 4–6: Other Financing Activity Report other securities financing activities where the
Securities Lent/Securities Borrowed 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
Line-by-Line Instructions the reporting entity to secure a borrowing of other
For each item, report other financing activity in col- securities, and other forms of collateralized financing
umns 1–3 according to the contract term as follows: agreements, including cash received from a collateral-
ized loan.
• Column 1 Overnight and Continuing. An overnight
financing agreement is an agreement that settles on Item 4d Other Financing Activity-Securities Lent
one business day and matures on the next business U.S. Federal Agency and GSE Residential MBS.
day. A continuing contract agreement is an agree- Report other securities financing activities where the
ment that remains in effect for more than one busi- collateral provided to the lender is U.S. Agency and
ness day, but has no specific maturity and can be ter- GSE Residential MBS, including those with the
minated on demand by either the borrower or the FRBNY. Include securities lent for cash, securities
lender. pledged by the reporting entity to secure a borrowing
• Column 2 Term Agreements (less than 30 days). A of other securities, and other forms of collateralized
term agreement with an original fixed maturity of financing agreements, including cash received from a
more than one day but less than 30 days that is not a collateralized loan.
continuing contract. Item 4e Other Financing Activity-Securities Lent
• Column 3 Term Agreements (30 days or greater). A U.S. Federal Agency and GSE Commercial MBS.
term agreement with an original fixed maturity of Report other securities financing activities where the
more than 30 days that is not a continuing contract. collateral provided to the lender is U.S. Agency and
C-4
January 2022 FR 2004
FR 2004C
GSE Commercial MBS, including those with the Item 5 Other Financing Activity-Securities-Securities
FRBNY. Include securities lent for cash, securities Borrowed
pledged by the reporting entity to secure a borrowing
of other securities, and other forms of collateralized Item 5a Other Financing Activity-Securities Borrowed
financing agreements, including cash received from a U.S. Treasury Securities (excluding TIPS).
collateralized loan. Report other securities financing activities where the
collateral provided to the borrower is U.S. Treasury
Item 4f Other Financing Activity-Securities Lent bills, coupon securities, and Floating Rate Notes
U.S. Corporate Debt. (FRNs), including those with the FRBNY. Include
Report other securities financing activities where the securities borrowed for cash, securities received as a
collateral provided to the lender is dollar denominated pledge by the reporting entity to secure a loan of other
corporate debt as defined for these forms, including securities, and other forms of collateralized financing
those with the FRBNY. Include securities lent for cash, agreements, including cash lent from a collateralized
securities pledged by the reporting entity to secure a loan.
borrowing of other securities, and other forms of col-
lateralized financing agreements, including cash Item 5b Other Financing Activity-Securities Borrowed
received from a collateralized loan. U.S. Treasury Inflation-Protected Securities (TIPS).
Report other securities financing activities where the
Item 4g Other Financing Activity-Securities Lent collateral provided to the borrower is U.S. TIPS securi-
Asset-backed Securities. ties, including those with the FRBNY. Include TIPS
Report other securities financing activities where the borrowed for cash, TIPS received as a pledge by the
collateral provided to the lender is dollar denominated reporting entity to secure a loan of other securities,
asset-backed securities as define for these forms, and other forms of collateralized financing agree-
including those with the FRBNY. Include securities ments, including cash lent from a loan collateralized
lent for cash, securities pledged by the reporting entity with TIPS.
to secure a borrowing of other securities, and other
forms of collateralized financing agreements, including Item 5c Other Financing Activity-Securities Borrowed
cash received from a collateralized loan. U.S. Federal Agency and GSE Securities
(excluding MBS).
Item 4h Other Financing Activity-Securities Lent Report other securities financing activities where the
U.S. Equities. collateral provided to the borrower is U.S. Agency and
Report other securities financing activities where the GSE debentures, including those with the FRBNY.
collateral provided to the lender is dollar denominated Include securities borrowed for cash, securities
U.S. equities, including those with the FRBNY. received as a pledge by the reporting entity to secure a
Include stocks lent for cash, stocks pledged by the loan of other securities, and other forms of collateral-
reporting entity to secure a borrowing of other securi- ized financing agreements, including cash lent from a
ties, and other forms of collateralized financing loans. collateralized loan.
Item 4i Other Financing Activity-Securities Lent Item 5d Other Financing Activity-Securities Borrowed
Other Collateral. U.S. Federal Agency and GSE Residential MBS.
Report other securities financing activities where the Report other securities financing activities where the
collateral provided to the lender is other dollar collateral provided to the borrower is U.S. Agency and
denominated collateral as specified above, including GSE Residential MBS, including those with the
those with the FRBNY. Include securities lent for cash, FRBNY. Include securities borrowed for cash, securi-
securities pledged by the reporting entity to secure a ties received as a pledge by the reporting entity to
borrowing of other securities, and other forms of col- secure a loan of other securities, and other forms of
lateralized financing agreements, including cash collateralized financing agreements, including cash lent
received from a collateralized loan. from a collateralized loan.
C-5
FR 2004 January 2022
FR 2004C
Item 5e Other Financing Activity-Securities Borrowed denominated collateral as specified above, including
U.S. Federal Agency and GSE Commercial MBS. those with the FRBNY. Include securities borrowed
Report other securities financing activities where the for cash, securities received as a pledge by the reporting
collateral provided to the borrower is U.S. Agency and entity to secure a loan of other securities, and other
GSE Commercial MBS, including those with the forms of collateralized financing agreements, including
FRBNY. Include securities borrowed for cash, securi- cash lent from a collateralized loan.
ties received as a pledge by the reporting entity to
secure a loan of other securities, and other forms of Item 6 Total.
collateralized financing agreements, including cash lent Report the sum of items 4–5.
from a collateralized loan.
Item 5g Other Financing Activity-Securities Borrowed Item 7b U.S. Treasury Inflation-Protected Securities
Asset-backed Securities. (TIPS).
Report other securities financing activities where the Report in the appropriate columns fails to receive and
collateral provided to the borrower is dollar denomi- fails to deliver of U.S. Treasury TIPS.
nated asset-backed securities as defined for these
forms, including those with the FRBNY. Include secu- Item 7c Federal Agency and GSE Securities
rities borrowed for cash, securities received as a pledge (excluding MBS).
by the reporting entity to secure a loan of other securi- Report in the appropriate columns fails to receive and
ties, and other forms of collateralized financing agree- fails to deliver federal agency and GSE securities
ments, including cash lent from a collateralized loan. (excluding MBS).
Item 5h Other Financing Activity-Securities Borrowed Item 7d Federal Agency and GSE MBS.
U.S. Equities. Report in the appropriate columns fails to receive and
Report other securities financing activities where the fails to deliver federal agency and GSE MBS.
collateral provided to the borrower is dollar denomi-
nated U.S. equities, including those with the FRBNY. Item 7e Other MBS.
Include stocks borrowed for cash, stocks received as a Report in the appropriate columns fails to receive and
pledge by the reporting entity to secure a loan of other fails to deliver of non-Agency and GSE MBS.
securities, and other forms of collateralized financing
agreements, including cash lent from a collateralized Item 7f Corporate Securities.
loan. Report in the appropriate columns fails to receive and
fails to deliver corporate securities.
Item 5i Other Financing Activity-Securities Borrowed
Other Collateral. Item 8 Total.
Report other securities financing activities where the Report the sum of lines 7a–7f.
collateral provided to the borrower is other dollar
C-6
January 2022 FR 2004
INSTRUCTIONS FOR PREPARATION OF
SI-1
FR 2004 January 2022
FR 2004SI
SI-2
January 2022 FR 2004
FR 2004SI
SI-3
FR 2004 January 2022
FR 2004SI
SI-4
January 2022 FR 2004
INSTRUCTIONS FOR PREPARATION OF
Accounting Rules The FR 2004SD data and the FR 2004SI data should
be transmitted separately via the
Report position and transaction data on the
FR 2004SD at the original issuance par amount. Posi- Reporting Central system. The FR 2004SD data
tions on the FR 2004SD are reported using settlement should be reported based on the data definitions and
date accounting. Long and short positions in the same accounting rules that apply to the FR 2004SI.
issue should be reported net by CUSIP, therefore, a
negative value can be reported in column 3 (net settled
position). Column 1 Security and Rate
Transactions on the FR 2004SD are reported using Provide information for each requested security based
trade date accounting. Do not net purchases and sales. on the information in the announcement of a
FR 2004SD report and on the FR 2004SD Guide
Report financing data, including security vs. security Sheet. Identify securities by coupon and maturity date
exchanges, at the original issuance par amount of the in yyyymmdd format.
collateral.
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 The FR 2004SD report form also contains fields for
loans (FIN 41 does not apply to this report). the collection of additional information deemed to be
critical and needed in an expedited manner from pri-
mary dealers. The items of information included on the
Reportable Securities supplement may change as needed. Once these data are
requested, specific details and reporting guidelines can
Report position, transaction, financing, and fails data
be obtained from: http://www.newyorkfed.org/
on a daily basis for requested securities specified by the
markets/primarydealers.html.
FRBNY on the FR 2004SD. These data are reported
daily on demand until notification is received from the These data are reported daily on demand basis until
FRBNY to cease daily reporting. Once these data are notification is received from the FRBNY to cease daily
requested, the FR 2004SD Guide Sheet is available at: reporting.
http://www.newyorkfed.org/markets/primarydealers.html.
SD-1
FR 2004 January 2022
INSTRUCTIONS FOR PREPARATION OF
WI-1
FR 2004 January 2022
FR 2004WI
on a date after the report date. For example, an agree- Report transactions for any delivery date. Include
ment to finance at issuance. Report any forward immediate, forward and when-issued transactions.
financing commitments involving a re-opened or new Exclude reporting entity allotments and customer
when-issued security even if no outright position is awards (securities received from bids placed on behalf
held. When the U.S. Treasury re-opens an issue, report of a customer by a reporting entity).
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 Line-by-Line Instructions
positions should be reported net by security, therefore,
a negative value can be reported in column 3 (net for- For each item, report security information in column 1,
ward financing commitments) of the FR 2004WI. net outright positions in column 2, net forward financ-
ing commitments in column 3, and cumulative outright
A repurchase agreement or commitment to lend the transactions in columns 4 and 5.
security should be considered a short position. A
reverse repurchase agreement or commitment to bor-
row securities should be considered a long position. Caption and Instructions
Exclude reporting entity allotments and customer
awards (securities received from bids placed on behalf
of a customer by a reporting entity). 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 informa-
Column 4 and 5 Cumulative Outright tion, net outright position, net forward financing com-
Transactions mitments, and cumulative outright transactions for the
new or re-opened U.S. Treasury security that is offered
Report gross purchases and sales in the appropriate
for sale but not yet issued.
column. Include transactions in the outstanding secu-
rity if the U.S. Treasury has re-opened a security.
Report only the transactions executed on the reporting Total
date. Do not report cumulative transactions across Report the sums of items 1 through 10.
reporting dates. Do not net purchases and sales.
WI-2
January 2022 FR 2004
INSTRUCTIONS FOR PREPARATION OF
FA-1
FR 2004 January 2022
FR 2004FA
FA-2
January 2022 FR 2004
INSTRUCTIONS FOR PREPARATION OF
The settlement calendar for MBS can be located here: Item 1e Report fails to receive and fails to deliver in the
http://www.sifma.org/Services/Standard-Forms-and- appropriate columns for 3.5% coupons.
Documentation/Securitized-Products/Securitized-
Products_MBS-Notification-and-Settlement-Dates/. Item 1f Report fails to receive and fails to deliver in the
appropriate columns for 4.0% coupons.
FR 2004 FB-Class B Settlement Fails Item 1i Report fails to receive and fails to deliver in the
appropriate columns for 5.5% coupons.
Line-by-Line Instructions
Settlement Fails Item 1j Report fails to receive and fails to deliver in the
appropriate columns for coupons greater than 5.5%.
Report outstanding settlement fails at close of business
on the Class B settlement date for 15-year FNMA Item 2 Total. Report the total of rows 1a–1j.
(FNCI), 15-year FHLMC (FGCI), and 15-year Uni-
form Mortgage-Backed securities (UMBS) issued by
Transaction Volumes
either FNMA or FHLMC for coupons listed below.
For each item, report FNMA non-UMBS eligible, Report cumulative MBS TBA and Pool Transactions
FNMA UMBS, and FHLMC UMBS fails to receive in (Outrights and Dollar Rolls) with external counterpar-
FB-1
FR 2004 January 2022
FR 2004FB
ties for Class B settlement in the reporting month for Item 3e Report cumulative MBS TBA and Pool
15-year FNMA, 15-year FHLMC, and 15-year UMBS Transactions in the appropriate columns for
issued by either FNMA or FHLMC for coupons listed 3.5% coupons.
below. Do not net buys and sells. Include coupon
and/or agency swaps as outright transactions. For each Item 3f Report cumulative MBS TBA and Pool
item, report FNMA, FNMA UMBS, and FHLMC Transactions in the appropriate columns for
UMBS outright transactions in column 1 and FNMA, 4.0% coupons.
FNMA UMBS, and FHLMC UMBS dollar rolls in
column 2. Report FHLMC (Non-UMBS) outright Item 3g Report cumulative MBS TBA and Pool
transactions in column 3 and FHLMC (Non-UMBS) Transactions in the appropriate columns for
dollar rolls in column 4. 4.5% coupons.
Item 3a Report cumulative MBS TBA and Pool Item 3h Report cumulative MBS TBA and Pool
Transactions in the appropriate columns for coupons Transactions in the appropriate columns for
lower than 2.0%. 5.0% coupons.
Item 3b Report cumulative MBS TBA and Pool Item 3i Report cumulative MBS TBA and Pool
Transactions in the appropriate columns for Transactions in the appropriate columns for
2.0% coupons. 5.5% coupons.
Item 3c Report cumulative MBS TBA and Pool Item 3j Report cumulative MBS TBA and Pool
Transactions in the appropriate columns for Transactions in the appropriate columns coupons
2.5% coupons. greater than 5.5%.
FB-2
January 2022 FR 2004
INSTRUCTIONS FOR PREPARATION OF
Accounting Rules Item 1a Report fails to receive and fails to deliver in the
appropriate columns for coupons lower than 2.5%.
Report settlement fails from Agency and GSE TBA
and specified pool transactions, at principal value, Item 1b Report fails to receive and fails to deliver in the
excluding accrued interest. Principal value is the face appropriate columns for 2.5% coupons.
value purchased or sold times the price. Report failed
transactions and failed financing transactions that Item 1c Report fails to receive and fails to deliver in the
occurred on the as-of date only. Also include TBA appropriate columns for 3.0% coupons.
MBS fails when the settlement date is delayed beyond
the contractual settlement date. Do not report security Item 1d Report fails to receive and fails to deliver in the
fails on a cumulative basis. However, report cumulative appropriate columns for 3.5% coupons.
TBA and pool transactions for settlement in the report-
ing month using trade date accounting. Dealers should Item 1e Report fails to receive and fails to deliver in the
report all TBA and pool transactions for that month’s appropriate columns for 4.0% coupons.
settlement (not just TBA dollar rolls). Do not net pur-
chases and sales. Item 1f Report fails to receive and fails to deliver in the
appropriate columns for 4.5% coupons.
The settlement calendar for MBS can be located here:
http://www.sifma.org/Services/Standard-Forms-and- Item 1g Report fails to receive and fails to deliver in the
Documentation/Securitized-Products/Securitized- appropriate columns for 5.0% coupons.
Products_MBS-Notification-and-Settlement-Dates/.
Item 1h Report fails to receive and fails to deliver in the
appropriate columns for 5.5% coupons.
No Activity Item 1i Report fails to receive and fails to deliver in the
If a reporting entity does not have any MBS TBA appropriate columns for 6.0% coupons.
activity, a report must be submitted reflecting zero
data. Item 1j Report fails to receive and fails to deliver in the
appropriate columns for coupons greater than 6.0%.
Item 2 Total.
FR 2004 FC-Class C Settlement Fails Report the total of rows 1a–1j.
Line-by-Line Instructions
Settlement Fails Transaction Volumes
Report outstanding settlement fails at close of business Report cumulative MBS TBA and Pool Transactions
on the Class C settlement date for 30-year GNMA (Outrights and Dollar Rolls) with external counterpar-
(GNSF or G2SF) coupons listed below. For each item, ties for Class C settlement in the reporting month for
report GNMA fails to receive in column 1 and GNMA 30-year GNMA for coupons listed below. Do not net
fails to deliver in column 2. buys and sells. Include coupon and/or agency swaps as
FC-1
FR 2004 January 2022
FR 2004FC
outright transactions. For each item, report GNMA Item 3f Report cumulative MBS TBA and Pool
outright transactions in column 1 and GNMA dollar Transactions in the appropriate columns for
rolls in column 2. 4.5% coupons.
Item 3a Report cumulative MBS TBA and Pool Item 3g Report cumulative MBS TBA and Pool
Transactions in the appropriate columns for coupons Transactions in the appropriate columns for
lower than 2.5%. 5.0% coupons.
Item 3b Report cumulative MBS TBA and Pool Item 3h Report cumulative MBS TBA and Pool
Transactions in the appropriate columns for Transactions in the appropriate columns for
2.5% coupons. 5.5% coupons.
Item 3c Report cumulative MBS TBA and Pool Item 3i Report cumulative MBS TBA and Pool
Transactions in the appropriate columns for Transactions in the appropriate columns for
3.0% coupons. 6.0% coupons.
Item 3d Report cumulative MBS TBA and Pool Item 3j Report cumulative MBS TBA and Pool
Transactions in the appropriate columns for Transactions in the appropriate columns coupons
3.5% coupons. greater than 6.0%.
FC-2
January 2022 FR 2004
INSTRUCTIONS FOR PREPARATION OF
FM-1
FR 2004 January 2022
FR 2004FM
FM-2
January 2022 FR 2004
FR 2004FM
Item 5f Report fails to receive and fails to deliver in the Item 7d Report cumulative MBS TBA and Pool
appropriate columns for 4.0% coupons. 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 7e Report cumulative MBS TBA and Pool
Item 5h Report fails to receive and fails to deliver in the Transactions in the appropriate columns for
appropriate columns for 5.0% coupons. 3.5% coupons.
FM-3
FR 2004 January 2022
Comparisons Between and Within
Report
Appendix A
APP-A-1
FR 2004 January 2022
Appendix A
be less than or equal to the transaction data submitted the current day’s net outright transactions plus the
for that same Wednesday on the FR 2004SI for that allotment received from the U.S. Treasury auction.
specific security.
APP-A-2
January 2022 FR 2004
Reporting Differences Between and
Within the FR 2004 Reports
Appendix B
APP-B-1
FR 2004 January 2022
Appendix B
APP-B-2
January 2022 FR 2004
Glossary
Appendix C
GL-1
FR 2004 January 2022
Glossary
GL-2
January 2022 FR 2004