Government Securities Dealers Reports

Board of Governors of the Federal Reserve System

Instructions for Preparation of Government Securities Dealers Reports

Reporting Form FR 2004

Issued January 2015 Contents for FR 2004 Instructions

I. GENERAL INSTRUCTIONS A Organization of the Instruction Book ...... GEN-1 B. Purpose of the FR 2004 Reports ...... GEN-1 C. Administrative Issues ...... GEN-1 • Authority ...... GEN-1 • Conﬁdentiality ...... GEN-1 • Paperwork Reduction Act ...... GEN-1 • Requests for Revised Data ...... GEN-2 • Data Retention ...... GEN-2 • Officer Declaration and Signature ...... GEN-2 D. Who Must Report ...... GEN-2 • Reporting Dealers ...... GEN-2 • Consolidation Rules ...... GEN-2 E. Submission of Reports ...... GEN-3 • Where to Report ...... GEN-3 • Report dates and Due Dates ...... GEN-3 II. WHAT TO REPORT A. Reportable Securities ...... GEN-4 B. Do Not Report ...... GEN-5 C. Allotments of New Securities ...... GEN-6 D. Underwriting of Securities ...... GEN-6 E. Security Buybacks ...... GEN-6 F. Prime Brokerage Reporting ...... GEN-6 III. REPORTING INSTRUCTIONS A. FR 2004A – Weekly Report of Dealer Positions ...... A-1 • Accounting Rules ...... A-2 • Reportable Positions ...... A-2 • Gross Long ...... A-2

FR 2004 Contents-1 Contents January 2015 Contents

• Gross Short ...... A-1 • Line-by-Line Instructions ...... A-1 • Maturity Classifications ...... A-5 B. FR 2004B – Weekly Report of Cumulative Dealer Transactions ...... B-1 • Accounting Rules ...... B-1 • Reportable Transactions ...... B-1 • Counterparty Categories ...... B-1 • With Inter-dealer Brokers ...... B-1 • With Others ...... B-1 • Line-by-Line Instructions ...... B-1 • Maturity Classifications ...... B-5 • Cancels and Corrections ...... B-5 C. FR 2004C – Weekly Report of Dealer Financing and Fails ...... C-1 • Accounting Rules ...... C-1 • Securities Financings ...... C-1 • Settlement Fails ...... C-1 • Types of Financing ...... C-1 • Line-by-Line Instructions ...... C-1 • Maturity Terms ...... C-2 • Repurchase Agreements ...... C-2 • Reverse Repurchase Agreements ...... C-2 • Other Financing – Securities Lent ...... C-3 • Other Financing – Securities Borrowed ...... C-4 • Aggregate Settlement Fails ...... C-5 D. FR 2004SI – Weekly Report of Specific Issues ...... SI-1 • Accounting Rules ...... SI-1 • Reportable Securities ...... SI-1 • Row Definitions ...... SI-1 • Column 1 Security and Rate ...... SI-1 • Columns 2-3 Outright Cumulative Transactions ...... SI-1 • Column 4 Net Settled Positions ...... SI-2 • Columns 5 through 12 Gross Financing ...... SI-2 • Columns 5, 6, 9, 10 Specific Transactions ...... SI-3 • Columns 7, 8, 11, 12 General ...... SI-3 • Columns 13 and 14 Fails ...... SI-3 • Column 15 FRBNY Security ID ...... SI-3 • Line-by-Line Instructions ...... SI-3

Contents-2 FR 2004 Contents January 2015 Contents

E. FR 2004SD – Daily Report of Speciﬁc Issues ...... SD-1 • Accounting Rules ...... SD-1 • Reportable Securities ...... SD-1 • Column 1 Security and Rate ...... SD-1 • Supplemental information ...... SD-1 F. FR 2004WI – Daily Report of Dealer Activity in Treasury Financing ...... WI-1 • Accounting Rules ...... WI-1 • No Activity ...... WI-1 • Re-Opened Security ...... WI-1 • Column 1 Security ...... WI-1 • Column 2 Net Outright Positions ...... WI-1 • Column 3 Net Forward Financing Commitments ...... WI-1 • Columns 4 and 5 Cumulative Outright Transactions ...... WI-2 • Line-by-Line Instructions ...... WI-2 G. FR 2004FA – Settlement Cycle Report of Dealer Fails and Transaction Volumes Class A ...... FA-1 • Accounting Rules ...... FA-1 • No Activity ...... FA-1 • Line-by-Line Instructions ...... FA-1 H. FR 2004FB – Settlement Cycle Report of Dealer Fails and Transaction Volumes Class A ...... FB-1 • Accounting Rules ...... FB-1 • No Activity ...... FB-1 • Line-by-Line Instructions ...... FB-1 I. FR 2004FC – Settlement Cycle Report of Dealer Fails and Transaction Volumes Class C ...... FC-1 • Accounting Rules ...... FC-1 • No Activity ...... FC-1 • Line-by-Line Instructions ...... FC-1 J. FR 2004FM – Settlement Cycle Report of Dealer Fails and Transaction Volumes Class A, B, and C ...... FM-1 • Accounting Rules ...... FM-1 • No Activity ...... FM-1 • Line-by-Line Instructions ...... FM-1 Appendix A – Comparisons Between and Within Reports ...... APP-A-1 • FR 2004A vs. FR 2004B ...... APP-A-1 • FR 2004C (line 3) vs. FR 2004C (memorandum) ...... APP-A-1

FR 2004 Contents-3 Contents January 2015 Contents

• FR 2004A vs. FR 2004SI and FR 2004WI ...... APP-A-1 • FR 2004B vs. FR 2004SI and FR 2004WI ...... APP-A-1 • FR 2004C vs. FR 2004SI ...... APP-A-1 • FR 2004SI (comparisons of column 3, columns 4 through 11, and columns 12 and13) ...... APP-A-1 • FR 2004SD (comparisons of column 3, columns 4 through 11, and columns 12 and13) ...... APP-A-1 • FR 2004SD vs. FR 2004SI ...... APP-A-1 • FR 2004WI (comparison of column 2, column 3, and columns 4 and 5) ...... APP-A-1 Appendix B – Reporting Examples ...... APP-B-1 • FR 2004SI ...... APP-B-1 • FR 2004SD ...... APP-B-1 Appendix C – Glossary ...... APP-C-1

Contents-4 FR 2004 Contents January 2015 INSTRUCTIONS FOR PREPARATION OF Government Securities Dealers Reports FR 2004

I. GENERAL INSTRUCTIONS C. ADMINISTRATIVE ISSUES Authority A. ORGANIZATION OF THE INSTRUCTION BOOK The FR 2004 reports are authorized by law (12 U.S.C. §§ 248(a)(2), 353-359, and 461(c)). These reports are This instruction book covers the FR 2004 Primary Gov- required to obtain the benefit of primary dealer status. ernment Securities Dealers Reports. It is divided into the following sections: Confidentiality Section I (General Instructions) - The general instruc- Individual primary dealer data are regarded as confiden- tions describe the overall reporting requirements. tial under the Freedom of Information Act (FOIA), 5 U.S.C. § 552, and are treated as such by the Federal Section II (What to Report) - This section describes the Reserve System. Individual reporting entity data reported types of reportable securities. on the FR 2004 reports will not be published or otherwise publicly disclosed. Aggregate data derived from these Section III (Report Specific Instructions) - This section reports that are published or otherwise publicly disclosed describes the specific reporting requirements for each will not reveal the identity of any individual reporting FR 2004 report and line. These instructions and defini- entity. If it should be determined subsequently that any tions supplement the information in the general instruc- information collected on these reports must be released, tions. primary dealers will be notified. The forms and instructions are available on the Board’s Data from the FR2004 series may be made available to website at: http://www.federalreserve.gov/reportforms/ the Inter-agency Working Group for Treasury market surveillance, which includes the Department of the Trea- Additional information, including the SI and WI Guide sury, the Securities and Exchange Commission, the Com- Sheets, is also available on the Federal Reserve Bank of modity Futures Trading Commission, the Board of Gov- New York’s (FRBNY) website: http://www.newyorkfed. ernors of the Federal Reserve System, and the Federal org/markets/primarydealers.html Reserve Bank of New York. Paperwork Reduction Act B. PURPOSE OF THE FR 2004 REPORTS The FR 2004 reports have been reviewed and approved The FR 2004 reports collect weekly and daily position, by the Office of Management and Budget (OMB) in transaction, financing, and fails data of the primary accordance with the Paperwork Reduction Act of 1995 government securities dealers (primary dealers) in U.S. and assigned OMB control number 7100-0003. The government securities and other selected fixed-income estimated average burden associated with this collection securities. These data provide critical support to the of information, per response, is 3 hours for the FR 2004A, Federal Reserve in fulfilling important responsibilities, 3.70 hours for the FR 2004B, 3.1 hours for the FR 2004C, including monitoring technical developments in U.S. 2.2 hours for the FR 2004SI, 2.2 hours for the FR 2004SD, government securities markets, conducting open market 1 hour for the FR 2004WI, 1 hour for the FR 2004FA, 1 operations, and acting as fiscal agent for the U.S. Depart- hour for the FR 2004FB, 1 hour for the FR 2004FC, and ment of the Treasury (U.S. Treasury). 1.5 hours for the FR 2004FM. These

FR 2004 GEN-1 General Instructions January 2015 General Instructions

averages include the time to gather and maintain data in Officer Declaration and Signature the required form, to review instructions, and to complete Each FR 2004 report (A, B, C, SI, SD, WI, FA, FB, FC, the information collection. The amount of time required and FM) must be signed by a senior officer of the primary to complete these reports will vary depending on the dealer that has managerial responsibilities for the internal amount of data to report. Comments concerning the controls for financial statements or the trading opera- accuracy of this burden estimate and suggestions for tions. This includes the CEO, CFO, or equivalent officer reducing burden should be directed to: with these responsibilities. The signing officer is expected to notify the FRBNY if the officer becomes aware of any Secretary, Board of Governors of the material inaccuracies in reported data. Federal Reserve System 20th Street and Constitution Avenue, N.W. Either the signature page of the FRBNY-supplied sample Washington, DC 20551 set of report forms, a photocopy of this signature page, or a copy of the signature page from the primary dealer’s No person is required to respond to any collection of report preparation software should be used to fulfill the information from the Federal Reserve System unless it signature and declaration requirement. This page should displays a currently valid OMB control number. be attached to the printout placed in the primary dealer’s official files for a period of time that is consistent with the Requests for Revised Data retention of the FR 2004 reports. In addition, a copy of the attestations must be submitted annually for the last FRBNY staff review data submitted on the FR 2004 as-of date of each year to the FRBNY. reports. As a result of their review and analytical procedures, FRBNY staff may ask reporters to explain data conditions or submit revisions. Since these data are D. WHO MUST REPORT extremely time-sensitive, reporters should respond as Reporting Dealers quickly as possible to these requests. Revisions must be submitted via the Reporting Central system. Respondents to the reports are primary dealers. The FR 2004 reports are required to obtain the benefit of primary When cancels and corrections to prior period FR 2004B dealer status. The Federal Reserve Bank of New York data occur, they may be corrected by reducing or increas- trades U.S. government and select other securities with ing the next period’s transactions by the amount of the designated primary dealers, which include banks and error. The revisions cannot be applied to the next period’s securities broker-dealers. A list of primary dealers can be transactions if the cancellation or correction from the found at http://www.newyorkfed.org/markets/ prior period results in a negative amount in the next pridealers_current.html period’s transactions. In that case, revised prior period Consolidation Rules data should be submitted. For purposes of these reports, data should be reported for Data Retention the entire legal entity that functions as the primary dealer, including any subsidiaries that it consolidates in its In accordance with Federal Reserve Banks Operating regulatory reports (e.g., FOCUS or FOG). Unless speci- Circular No. 5, the reporting Institution must maintain a fied in these instructions, all activity and balances hard copy duplicate of all required statistical or other between consolidated entities included in the consolida- bank regulatory data (such as FR 2004) that it submits tion described above should be eliminated. Activities and electronically, unless, consistent with generally applica- balances with counterparties not included in the consoli- ble revisions to the requirements for submitting the dation described above are external and should be particular report, the Institution is no longer required to reported accordingly. retain the hard copy. The hard copy must contain an official signature certifying that the data contained therein Positions, transactions, financing, and fails that occur is correct, must be retained by the Institution for at least with unconsolidated affiliates and subsidiaries are reported five years, and is subject to inspection by the Reserve as third-party transactions. Do not report internal trades, Bank. including trades between desks or departments.

GEN-2 FR 2004 General Instructions January 2015 General Instructions

Direct Parent of Primary Dealer

Trades between consolidated and Company A unconsolidated ese entities (Primary Dealer entities are are consolidated Afﬁ liate) reportable. Primary with the Dealer primary dealer

Company B Company C (Not Afﬁ liate of (Direct Subsidiary of Primary Dealer) Primary Dealer)

These entities are Company B Company E not consolidated (Not Afﬁ liate of (Consolidated Subsidiary with the primary Primary Dealer) of Primary Dealer) dealer.

Affiliates are companies under the control of the direct reportingcentral/resource_center.html for additional infor- parent of the primary dealer. The following illustrates the mation on the Reporting Central system. FR 2004 consolidation rules. If data cannot be transmitted via the Reporting Central E. SUBMISSION OF REPORTS system, primary dealers are required to fax the FR 2004 reports to the FRBNY by 4:00 p.m. (Eastern Time) Where to Report Thursday (or FR 2004SD FR 2004WI, FR 2004FA, All respondents must submit their completed report via FR 2004FB, FR 2004FC, or FR 2004FM deadline date) the Federal Reserve System’s Reporting Central system. to: 212-720-5030 or 646-720-5030. Prior to faxing The Federal Reserve Bank of New York (FRBNY) will reports, please call FRBNY Statistics Function at 212- provide technical assistance to any respondent requiring 720-7993 or 646-720-7993. Data that are faxed to guidance in creating ﬁles for submission via Reporting FRBNY must subsequently be submitted via the Report- Central. See: http://www.frbservices.org/centralbank/ ing Central system.

FR 2004 GEN-3 General Instructions January 2015 General Instructions

Report Dates and Due Dates both the interest-only (IO) and principal-only (PO) components. It also includes Treasury Floating Rate Notes Report weekly data as of the close of business each (FRNs). Wednesday. Data should be submitted to the Federal Reserve Bank of New York (FRBNY) each week no later U.S. Treasury Inflation-Protected Securities (TIPS) than 4:00 p.m. (Eastern Time) Thursday (Friday if Thurs- day is a holiday). This includes all U.S. Treasury securities that do not have a fixed principal. In addition, include STRIPS (both the Data for the FR 2004WI should be submitted no later IO and PO components) where the underlying security is than 4:00 p.m. (Eastern Time) daily during a when-issued a TIPS. period for the previous business day. The reporting of the FR 2004WI begins on the business day following a Federal Agency and Government Sponsored Enter- financing announcement for positions as of the close of prise Securities (excluding MBS) business the day of the announcement. The last report for This includes securities that are issued by, guaranteed by, a when-issued period is due on the settlement date for or are the direct obligation of a federal agency or a GSE information as of close of business the previous business that are not mortgage-backed securities (MBS). day. Settlement fails data from the FR 2004FA, 2004FB, Federal Agency and GSE Mortgage-Backed Securities 2004FC, and 2004FM should be submitted no later than This includes: 4:00 p.m. (Eastern Time) on the next business day following the applicable report as of date. Residential Pass-Through Securities FR 2004SI information may be requested daily for • Residential mortgage pass-through securities backed certain on-the-run or other securities on the FR 2004SD by an undivided interest in a pool of loans secured by report. Data for the FR 2004SD should be submitted no 1-4 family residential properties, guaranteed by the later than 4:00 p.m. (Eastern Time) daily for the previous Government National Mortgage Association (GNMA) business day until notified by the FRBNY to cease or issued by the Federal National Mortgage Corpora- reporting these data daily. tion (FNMA) or the Federal Home Loan Mortgage Corporation (FHLMC). II. WHAT TO REPORT Other Residential Mortgage-Backed Securities Report all data in millions of dollars. Total all data for • All classes of collateralized mortgage obligations each cell before rounding. Do not report decimals or (CMOs) and real estate mortgage investment conduits negative values in any cell except for those specific cells (REMICs), CMO and REMIC residuals, and stripped on the forms SI, SD, and WI, (net settled position, net mortgage-backed securities issued by FNMA or outright position and net forward financing commit- FHLMC or guaranteed by GNMA. Also include ments) where negative values may be reported. See the REMICs issued by the U.S. Department of Veterans specific instructions for those forms for further details. Affairs (VA). A. REPORTABLE SECURITIES • All classes of CMOs, REMICs, CMO and REMIC Provided below are descriptions of reportable securities residuals, and stripped mortgage-backed securities by asset class. Portions of security identification numbers issued by non-U.S. government issuers (e.g., other issued by the Committee on Uniform Security Identifica- depository institutions, insurance companies, state and tion Procedures (CUSIP), known as ‘‘roots,’’ can be local housing authorities in the U.S.) for which the helpful in identifying certain reportable securities. Refer collateral consists of GNMA (Ginnie Mae) pass- to the specific guidelines for each particular report for throughs, FNMA (Fannie Mae) pass-throughs, FHLMC additional information. (Freddie Mac) participation certificates, or other mortgage-backed securities (i.e., classes of CMOs or U.S. Treasury Securities (excluding TIPS) REMICs, CMO or REMIC residuals, and stripped This includes bills, notes, bonds, and Separate Trading of mortgage-backed securities) issued or guaranteed by Registered Interest and Principal Securities (STRIPS), FNMA, FHLMC, GNMA, or VA.

GEN-4 FR 2004 General Instructions January 2015 General Instructions

Commercial Mortgage-Backed Securities • covered bonds

• Commercial mortgage pass-through securities backed • Detached U.S. government security coupons and by an undivided interest in a pool of loans secured by ex-coupon U.S. government securities reissued as Trea- properties other than 1-4 family residential properties, sury receipts representing rights to the future payments issued by GNMA, FNMA or FHLMC. held by a trustee. These instruments have been devel- Non Agency Mortgage-Backed Securities oped by several securities firms and markets under names such as CATS, TIGRS, COUGAR, and LION. This includes: • Privately placed securities (e.g., 144a Securities) Residential Mortgage-Backed Securities State and Municipal Government Obligations • This includes all mortgage pass through securities backed by an undivided interest in a pool of loans Includes debt securities issued by states and political secured by 1-4 family residential properties, issued by subdivisions in the U.S. including the District of Colum- others (e.g., other depository institutions or insurance bia. This includes their counties, municipalities, school companies, state and local housing authorities) that are districts, irrigation, drainage, and sewer districts. Also not issued or guaranteed by the U.S. government. If the include securities issued by the government of Puerto consolidated entity has issued private certificates of Rico and of the U.S. territories and possessions and their participation in a pool of its own residential mortgages political subdivisions. Include in a transaction that is not a financing, any unsold certificates of participation are to be reported in this • General obligations item. Also report all classes of CMOs, REMICs, CMO and REMIC residuals, and stripped mortgage-backed • Revenue obligations securities issued by non-U.S. government issuers (e.g., • Industrial development and similar obligations other depository institutions, insurance companies, state and local housing authorities in the U.S.) for Asset-Backed Securities (ABS) which the collateral does not consist of GNMA (Ginnie Mae) pass-throughs, FNMA (Fannie Mae) pass- Each ABS should be reported in the item that most throughs, FHLMC (Freddie Mac) participation certifi- closely describes the predominant type of asset that cates, or other residential mortgage-backed securities collateralizes the security and this categorization should (i.e., classes of CMOs or REMICs, CMO or REMIC be used consistently over time. These may include secu- residuals, and stripped mortgage-backed securities) rities backed by credit card receivables, automobile loans issued FNMA, FHLMC, GNMA, or VA. and leases, home equity lines, consumer and personal loans, commercial and industrial loans, and other assets, Commercial Mortgage-Backed Securities as well as collateralized loan obligations (CLOs), collat- • This includes all CMOs, REMICs, CMO and REMIC eralized debt obligations (CDOs), and collateralized bond residuals, and stripped mortgage-backed securities obligations (CBOs). Do not include mortgage-backed backed by loans secured by properties other than 1-4 securities (MBS). MBS should be reported in Lines family residential properties that have been issued or 4a-4e. Do not include asset-backed commercial paper guaranteed by non-U.S. government issuers. (ABCP). ABCP should be reported on Line 5a. Corporate Securities B. DO NOT REPORT This includes U.S. dollar-denominated debt securities issued by corporations incorporated in the fifty states of Securities issued by multinational institutions, such as the United States and the District of Columbia including: the International Bank for Reconstruction and Devel- • bonds, notes, debentures opment (IBRD/World Bank). • commercial paper including ABS-backed commercial Securities issued by corporations incorporated in the paper U.S. territories and Puerto Rico.

FR 2004 GEN-5 General Instructions January 2015 General Instructions

Securities issued by corporations incorporated outside D. UNDERWRITING OF SECURITIES of the United States (i.e., foreign securities). Report the position taken in a new issue when the Shares of funds, including exchange traded funds reporting entity is the underwriter or part of the under- (ETFs), even if the fund invests in reportable securi- writing syndicate. The transaction to obtain that position ties. (whether for the reporting entity’s own portfolio or on behalf of a customer) should not be reported. Derivative contracts, with the exception of forwards reported on the FR 2004A and the FR 2004B, and E. SECURITY BUYBACKS forward ﬁnancing commitments are reportable (on the FR 2004WI). Report the change in position when the buyback settles. The settlement of a buyback should be excluded from the FR 2004B (whether for the reporting entity’s own port- C. ALLOTMENTS OF NEW SECURITIES folio or on behalf of a customer). However, purchases of Report the position taken in a new U.S. Treasury or MBS securities by a reporting entity from a customer to security allotment. Include allotments that are awarded complete the buyback process should be included. on a report date in that day’s positions. However, do not report any transaction with an issuer used to book a F. PRIME BROKERAGE REPORTING position in a new security (whether for the reporting Transactions conducted on behalf of a prime brokerage entity’s own portfolio or on behalf of a customer). customer with an executing dealer should be excluded. Purchases from issuers of new debt, including debt Financing positions conducted on behalf of a prime purchased as part of an existing facility, medium term brokerage customer should be excluded on the FR 2004C, note program or debt purchased through reverse inquiry FR 2004SI, and FR 2004SD. Trades in which the are excluded. Purchases from and sales to the FRBNY customer’s prime broker is acting as principal or agent are not allotments. should be reported as trades with ‘‘others.’’

GEN-6 FR 2004 General Instructions January 2015 INSTRUCTIONS FOR THE PREPARATION OF THE Weekly Report of Dealer Positions FR 2004A

III. REPORT INSTRUCTIONS Line-by-Line Instructions Accounting Rules For each item, report gross long outright positions in column 1 and gross short outright positions in column 2. Report data on the FR 2004A at fair value. The deﬁnition For further description on reportable securities see Sec- of fair value is consistent with U.S. GAAP, as referenced tion II. A ‘‘What to Report - Reportable Securities’’. in FAS 157 (see ASC Topic 820 Fair Value Measure- ments and Disclosures). Line Caption and Instructions Positions on the FR 2004A are reported using trade date Item 1 U.S. Treasury Securities (excluding TIPS) accounting, except for buybacks, which should be reported using settlement date accounting. Item 1a Bills. Long and short positions in the same issue should be Report in the appropriate columns outright positions in reported net by CUSIP. However, long and short posi- U.S. Treasury Bills. tions in different issues should be reported gross. Item 1b Floating Rate Notes (FRNs). Report in the appropriate columns outright positions in Reportable Positions U.S. Treasury Floating Rate Notes. Report the following on the FR 2004A report in the appropriate column (i.e., positive positions should be Item 1c Coupons due in less than or equal to 2 reported as a long position and negative positions should years. be reported as a short position): Report in the appropriate columns outright positions in • Immediate delivery and forward delivery positions that U.S. Treasury securities (excluding TIPS) with coupons are owned on an outright basis due in less than or equal to 2 years. • Forward contracts Item 1d Coupons due in more than 2 years but • The position taken in a new U.S. Treasury, or MBS less than or equal to 3 years. security allotment. Include allotments that are awarded on a report date in that day’s positions. Report in the appropriate columns outright positions in U.S. Treasury securities (excluding TIPS) with coupons • The position taken in a new non-Agency or GSE issued due in more than 2 years but less than or equal to 3 years. MBS security when the reporting entity is the underwriter or part of the underwriting syndicate Item 1e Coupons due in more than 3 years but • When-issued positions less than or equal to 6 years. • Dollar rolls involving To Be Announced (TBA) securi- Report in the appropriate columns outright positions in ties, for which the underlying security does not yet U.S. Treasury securities (excluding TIPS) with coupons exist (e.g., forward MBS). due in more than 3 years but less than or equal to 6 years.

Weekly Report of Dealer Positions A-1 FR 2004A January 2015 FR 2004A

Item 1f Coupons due in more than 6 years but Item 3b Coupons. less than or equal to 7 years. Report in the appropriate columns outright positions in Report in the appropriate columns outright positions in federal agency and GSE coupon securities. U.S. Treasury securities (excluding TIPS) with coupons due in more than 6 years but less than or equal to 7 years. Item 4 Mortgage-Backed Securities (MBS) Item 1g Coupons due in more than 7 years but Item 4a Federal Agency and GSE Residential less than or equal to 11 years. Pass-Through MBS. Report in the appropriate columns outright positions in Report in the appropriate columns outright positions in U.S. Treasury securities (excluding TIPS) with coupons federal agency and GSE residential pass- through MBS due in more than 7 years but less than or equal to 11 securities. Include securities guaranteed by GNMA and years. issued by FNMA and FHLMC.

Item 1h Coupons due in more than 11 years. Item 4b All Other Federal Agency and GSE Report in the appropriate columns outright positions in Residential MBS. U.S. Treasury securities (excluding TIPS) with coupons Report in the appropriate columns outright positions in due in more than 11 years. other federal agency and GSE residential MBS securities. Include securities guaranteed by GNMA and issued by Item 2 U.S. Treasury Inﬂation-Protected Securities FNMA and FHLMC. Include CMOs, REMICs, and (TIPS) stripped MBS, such as IOs and POs Item 2a TIPS due in less than or equal to 2 years. Report in the appropriate columns outright positions in Item 4c Federal Agency and GSE Commercial TIPS due in less than or equal to 2 years. MBS (CMBS). Report in the appropriate columns outright positions in Item 2b TIPS due in more than 2 years but less federal agency and GSE commercial MBS securities. than or equal to 6 years. Include securities guaranteed by GNMA and issued by Report in the appropriate columns outright positions in FNMA and FHLMC. Also include CMBS guaranteed by TIPS due in more than 2 years but less than or equal to 6 the Small Business Administration. years. Item 4d Non-Agency Residential MBS. Item 2c TIPS due in more than 6 years but less than or equal to 11 years. Report in the appropriate columns outright positions in residential MBS securities that have been issued by Report in the appropriate columns outright positions in non-U.S. Government issuers (e.g., other depository insti- TIPS due in more than 6 years but less than or equal to 11 tutions, insurance companies, state and local housing years. authorities in the U.S.) that are not guaranteed by the U.S. government. Include CMOs, REMICS, and stripped Item 2d TIPS due in more than 11 years. MBS, such as IOs and POs. Report in the appropriate columns outright positions in TIPS due in more than 11 years. Item 4e Other Commercial MBS. Item 3 Federal Agency and GSE Securities Report in the appropriate columns outright positions in (excluding MBS) commercial MBS securities that have been issued or guaranteed by non-U.S. Government issuers (e.g., other Item 3a Discount notes. depository institutions, insurance companies, state and Report in the appropriate columns outright positions in local housing authorities in the U.S.). Include CMOs, federal agency and GSE discount notes. REMICS, and stripped MBS, such as IOs and POs.

A-2 Weekly Report of Dealer Positions FR 2004A January 2015 FR 2004A

Item 5 Corporate Securities. ratings are available, the lowest of the ratings should be used for reporting. Item 5a Commercial Paper. Report in the appropriate columns outright positions in Item 5e Investment Grade Bonds, Notes, and dollar denominated commercial paper including unse- Debentures due in more than 10 years. cured and asset-backed commercial paper (ABCP) issued Report in the appropriate columns outright positions in by U.S. entities. Exclude commercial paper issued by dollar denominated bonds, notes, debentures and equip- states and political subdivisions in the U.S. (report those ment trust certificates that are rated investment grade items in Line 6). (BBB or better) and are due in more than 10 years. Report according to the current rating, not the rating at Item 5b Investment Grade Bonds, Notes, and inception. If no public ratings are available, but internal Debentures due in less than or equal to 13 months. ratings are available, the internal definitions may be used. Report in the appropriate columns outright positions in If several public ratings are available, the lowest of the dollar denominated bonds, notes, debentures and equip- ratings should be used for reporting. ment trust certificates that are rated investment grade Item 5f Below Investment Grade Bonds, Notes, (BBB or better) and due in 13 months or less. and Debentures due in less than or equal to 13 Report according to the current ratings, not the ratings months. issued at inception. If no public ratings are available, but Report in the appropriate columns outright positions in internal ratings are available, the internal definitions may dollar denominated bonds, notes, debentures and equip- be used. If several public ratings are available, the lowest ment trust certificates that are rated below investment of the ratings should be used for reporting. grade (BB+ or lower) and due in less than or equal to 13 Item 5c Investment Grade Bonds, Notes, and months. Debentures due in more than 13 months but in less Report according to the current rating, not the rating at than or equal to five years. inception. If no public ratings are available, the internal definitions may be used. If several public ratings are Report in the appropriate columns outright positions in available, the lowest of the ratings should be used for dollar denominated bonds, notes, debentures and equip- reporting. ment trust certificates that are rated investment grade (BBB or better) and are due in greater than 13 months but Item 5g Below Investment Grade Bonds, Notes, in less than or equal to five years. and Debentures due in more than 13 months but in Report according to the current rating, not the rating at less than or equal to five years. inception. If no public ratings are available, but internal Report in the appropriate columns outright positions in ratings are available, the internal definitions may be used. dollar denominated bonds, notes, debentures and equip- If several public ratings are available, the lowest of the ment trust certificates that are rated below investment ratings should be used for reporting. grade (BB+ or lower) and due in more than 13 months but in less than or equal to five years. Report according to Item 5d Investment Grade Bonds, Notes, and the current rating, not the rating at inception. If no public Debentures due in more than five years but in less rating are available, the internal definitions may be used. than or equal to 10 years. If several public ratings are available, the lowest of the Report in the appropriate columns outright positions in ratings should be used for reporting. dollar denominated bonds, notes, debentures and equip- Item 5h Below Investment Grade Bonds, Notes, ment trust certificates that are rated below investment and Debentures due in more than five years but in grade (BBB or better) and are due in more than five years less than or equal to ten years. but in less than or equal to 10 years. Report according to the current rating, not the rating at inception. If no public Report in the appropriate columns outright positions in ratings are available, but internal ratings are available, dollar denominated bonds, notes, debentures and equip- the internal definitions may be used. If several public ment trust certificates that are rated below investment

Weekly Report of Dealer Positions A-3 FR 2004A January 2015 FR 2004A

grade (BB+ or lower) and due in more than ﬁve years but Item 6d State and Municipal Government in less than or equal to ten years. Report according to the Obligations due in more than ten years. current rating, not the rating at inception. If no public Report in the appropriate columns outright positions in rating are available, the internal deﬁnitions may be used. state and municipal government obligations due in more If several public ratings are available, the lowest of the than ten years. Include taxable municipal obligations. Do ratings should be used for reporting. not include positions reported on Line 6e.

Item 5i Below Investment Grade Bonds, Notes, Item 6e State and Municipal Government and Debentures due in more than ten years. Obligations Variable Rate Demand Notes (VRDNs). Report in the appropriate columns outright positions in Report in the appropriate columns outright positions in dollar denominated bonds, notes, debentures and equip- variable rate state and municipal government obligations ment trust certificates that are rated below investment of any maturity. VRDNs are floating rate obligations that grade (BB+ or lower) and due in more than ten years. have a long term maturity but have a coupon rate that Report according to the current rating, not the rating at resets periodically. Also include auction rate securities, inception. If no public rating are available, the internal inverse floaters, and lower floaters. Do not report auction definitions may be used. If several public ratings are rate preferred securities issued by bond funds. available, the lowest of the ratings should be used for reporting. Item 7 Asset-Backed Securities Item 7a Credit Card-Backed Securities. Item 6 State and Municipal Government Obligations. Report in the appropriate columns outright positions in asset-backed securities collateralized predominantly by Item 6a State and Municipal Government credit card receivables, i.e., extensions of credit to indi- Obligations due in less than or equal to 13 months. viduals for household, family, and other personal expen- Report in the appropriate columns outright positions in ditures arising from credit cards. state and municipal government obligations due in less than or equal to 13 months. Include municipal commer- Item 7b Student Loan-Backed Securities. cial paper as well as taxable municipal obligations. Do Report in the appropriate columns outright positions in not include positions reported on Line 6e. asset-backed securities collateralized predominantly by student loans. Item 6b State and Municipal Government Obligations due in more than 13 months but in less Item 7c Automobile Loan-Backed Securities. than or equal to five years. Report in the appropriate columns outright positions in Report in the appropriate columns outright positions in asset-backed securities collateralized predominantly by state and municipal government obligations due in more automobile loans, i.e., loans to individuals for the pur- than 13 months but in less than or equal to five years. pose of purchasing private passenger vehicles, including Include taxable municipal obligations. Do not include minivans, vans, SUVs, pickup trucks, and similar light positions reported on Line 6e. trucks for personal use.

Item 6c State and Municipal Government Item 7d Other Asset-Backed Securities. Obligations due in more than ﬁve years but in less Report in the appropriate columns outright positions in than or equal to 10 years. asset-backed securities collateralized predominantly by Report in the appropriate columns outright positions in loans other than those listed in 7a-7c including CLOs. Do state and municipal government obligations due in more not include MBS. than ﬁve years but in less than or equal to 10 years. Item 8 Total. Include taxable municipal obligations. Do not include positions reported on Line 6e. Report the sums of items 1 through 7.

A-4 Weekly Report of Dealer Positions FR 2004A January 2015 FR 2004A

Maturity Classifications • The sum of the first 4 IO components in line 1c (U.S. Report U.S. Treasury, Corporate, and State and Munici- Treasury Coupons due in less than or equal to 2 years); pal securities in the appropriate maturity classification row on the FR 2004A based on remaining maturity. As • The sum of the next 2 IO components in line 1d (U.S. the remaining maturity decreases, the security is shifted Treasury Coupons due in more than 2 years but less from one maturity classification to another. If the shift than or equal to 3 years); occurs on a Wednesday, categorize the security in the new maturity classification row on that Wednesday’s • The sum of the next 6 IO components in line 1e (U.S. report. Treasury Coupons due in more than 3 years but less than or equal to 6 years); When-issued securities should be categorized based on the time remaining to maturity calculated from the issue • The sum of the next 2 IO components in line 1f (U.S. date (e.g., a when-issued, 2-year U.S. Treasury note Treasury Coupons due in more than 6 years but less should be reported in line 1b, U.S. Treasury Securities: than or equal to 7 years), Coupons due in less than or equal to 2 years). STRIPS and other stripped securities should be catego- • The sum of the next 8 IO components in line 1g (U.S. rized based on the time remaining to the payment date for Treasury Coupons due in more than 7 years but less each IO component, and to the redemption date for the than or equal to 11 years), PO component. For example, report a stripped 30-year U.S. Treasury bond with 60 coupon payments (two The sum of the remaining 38 IO components and the PO interest payments per year; 60 IO components) as fol- component in line 1h (U.S. Treasury Coupons due in lows: more than 11 years).

Weekly Report of Dealer Positions A-5 FR 2004A January 2015 INSTRUCTIONS FOR THE PREPARATION OF THE Weekly Report of Dealer Transactions FR 2004B

Accounting Rules Counterparty Categories Report outright transactions of fixed principal securities Column 1 With Inter-Dealer Brokers at principal value, excluding accrued interest. Principal A listing of inter-dealer brokers are listed in the Fixed value is the face value purchased or sold times the price. Income Clearing Corporation’s (FICC) government secu- For outright TIPS securities, principal value is the origi- rities division and mortgage-backed securities division nal issuance par amount (unadjusted for inflation) times member directories. The directory can be obtained from: the price times the index ratio. http://www.dtcc.com/customer/directories/ficc/ Transactions on the FR 2004B are reported using trade ficc_gov.php date accounting. http://www.dtcc.com/customer/directories/ficc/ Report on a cumulative basis for the entire report week. ficc_mbs.php Do not net purchases and sales. • Brokers with an asterisk next to their name are inter- dealer brokers. These listings are included for use as a guide and should not be considered an exhaustive list Reportable Transactions of all inter-dealer brokers. Dealers should look through the organizational structure of counterpartys when • Outright transactions and forward transactions of fixed dealing with inter-dealer brokers not specified on the principal securities. FICC membership directories to identify affiliate firms • Outright transactions and forward transactions in Trea- designated as inter-dealer brokers that provide clearing sury Floating Rate Notes (FRNs). services for the counterparty as well as inter-dealer brokers that are not FICC members. Include trades • Treasury Inflation-Protected Securities (TIPS). with these institutions in column 1 on the FR 2004B. • Purchases of securities by a reporting entity from a • Trades made through inter-dealer brokers where the customer to complete the buyback process. However, counterparty is revealed after the conclusion of the exclude buyback offers accepted by the U.S. Treasury, trade (give-up trades) should continue to be reported as whether for the dealer’s own behalf or on behalf of transactions with inter-dealer brokers and not as trans- their customers. actions with others. • When-issued securities. Column 2 With Other Counterparties • Dollar rolls involving To Be Announced (TBA) securities, for which the underlying security does not yet Include transactions with primary dealers, the FRBNY exist (e.g., forward MBS). (including all open market operations), and all counterparties other than those included in column 1. • Transactions executed through electronic trading platforms for the reporting dealer’s own accounts. How- Line-by-Line Instructions ever, do not report transactions executed to settle trades for electronic trading platforms, where the reporter For each item, report transactions with inter-dealer bro- does not take a position. kers in column 1 and transactions with others in column

Weekly Report of Dealer Transactions B-1 FR 2004B January 2015 FR 2004B

2. For further description on reportable securities see Item 1h Coupons due in more than 11 years. Section II. A ‘‘What to Report - Reportable Securities’’. Report in the appropriate columns transactions in U.S. Treasury securities (excluding TIPS) with coupons due in Line Caption and Instructions more than 11 years. Item 1 U.S. Treasury Securities (excluding TIPS) Item 2 U.S. Treasury Inﬂation-Protected Securities Item 1a Bills. (TIPS) Report in the appropriate columns transactions in U.S. Item 2a TIPS due in less than or equal to 2 years. Treasury Bills. Report in the appropriate columns transactions in TIPS due in less than or equal to 2 years. Item 1b Floating Rate Notes . Report in the appropriate columns transactions in U.S. Item 2b TIPS due in more than 2 years but less Treasury ﬂoating rate notes. than or equal to 6 years. Report in the appropriate columns transactions in TIPS Item 1c Coupons due in less than or equal to 2 due in more than 2 years but less than or equal to 6 years. years. Report in the appropriate columns transactions in U.S. Item 2c TIPS due in more than 6 years but less Treasury securities (excluding TIPS) with coupons due in than or equal to 11 years. less than or equal to 2 years. Report in the appropriate columns transactions in TIPS due in more than 6 years but less than or equal to 11 Item 1d Coupons due in more than 2 years but years. less than or equal to 3 years. Report in the appropriate columns transactions in U.S. Item 2d TIPS due in more than 11 years. Treasury securities (excluding TIPS) with coupons due in Report in the appropriate columns transactions in TIPS more than 2 years but less than or equal to 3 years. due in more than 11 years.

Item 1e Coupons due in more than 3 years but Item 3 Federal Agency and GSE Securities less than or equal to 6 years. (excluding MBS) Report in the appropriate columns transactions in U.S. Item 3a Discount notes. Treasury securities (excluding TIPS) with coupons due in more than 6 years but less than or equal to 11 years. Report in the appropriate columns transactions in federal agency and GSE discount notes. Item 1f Coupons due in more than 6 years but Item 3b Coupons. less than or equal to 7 years. Report in the appropriate columns transactions in federal Report in the appropriate columns transactions in U.S. agency and GSE coupon securities. Treasury securities (excluding TIPS) with coupons due in more than 6 years but less than or equal to 7 years. Item 4 Mortgage-Backed Securities Item 1g Coupons due in more than 7 years but Item 4a Federal Agency and GSE Residential less than or equal to 11 years. Pass-Through MBS Cash transactions. Report in the appropriate columns transactions in U.S. Report in the appropriate columns cash transactions as Treasury securities (excluding TIPS) with coupons due in well as other transactions not reported separately in Line more than 7 years but less than or equal to 11 years. 4b in MBS pass-through securities.

B-2 Weekly Report of Dealer Transactions FR 2004B January 2015 FR 2004B

Item 4b Federal Agency and GSE Residential asset-backed commercial paper (ABCP) issued by U.S. Pass-Through MBS Dollar roll transactions. entities. Do not include commercial paper issued by states and political subdivisions in the U.S. (report those Report in the appropriate columns dollar roll transactions items in Item 6). in Federal Agency and GSE Pass-through MBS securities. A dollar roll is a transaction involving the purchase or sale of an MBS pass-through security for delivery in Item 5b Investment Grade Bonds, Notes, and the current month with a simultaneous agreement to Debentures due in less than or equal to 13 months. resell or repurchase substantially similar securities in the future at a specified price. Report in the appropriate columns transactions in dollar denominated bonds, notes, debentures and equipment Item 4c All Other Federal Agency and GSE trust certificates that are rated investment grade (BBB or Residential MBS. better) and due in 13 months or less. Report in the appropriate columns transactions in other Report according to current ratings, not the ratings issued federal agency and GSE-issued residential MBS includ- at inception. If no public ratings are available, the ing CMOs, REMICS, and stripped MBS, such as IOs and internal definitions may be used. If several public ratings POs. are available, the lowest of the ratings should be used for reporting. Item 4d Federal Agency and GSE Commercial MBS (CMBS). Item 5c Investment Grade Bonds, Notes, and Report in the appropriate columns transactions in federal Debentures due in more than 13 months but in less agency and GSE commercial MBS securities. Include than or equal to five years. securities guaranteed by GNMA and issued by FNMA Report in the appropriate columns transactions in dollar and FHLMC. Also include CMBS guaranteed by the denominated bonds, notes, debentures and equipment Small Business Administration. trust certificates that are rated investment grade (BBB or Item 4e Non-Agency Residential MBS. better) and are due in more than 13 months but in less than or equal to five years. Report in the appropriate columns transactions in residential MBS securities that have been issued by non-U.S. Report according to the current ratings, not the ratings Government issuers (e.g., other depository institutions, issued at inception. If no public ratings are available, but insurance companies, state and local housing authorities internal ratings are available, the internal definitions may in the U.S.) that are not guaranteed by the U.S. govern- be used. If several public ratings are available, the lowest ment. Include CMOs, REMICS, and stripped MBS, such of the ratings should be used for reporting. 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 Report in the appropriate columns transactions in com- than or equal to 10 years. mercial MBS securities that have been issued or guaran- Report in the appropriate columns transactions in dollar teed by non-U.S. Government issuers (e.g., other deposi- denominated bonds, notes, debentures and equipment tory institutions, insurance companies, state and local trust certificates that are rated investment grade (BBB or housing authorities in the U.S.). Include CMOs, REMICS, better) and are due in more than five years but in less than and stripped MBS, such as IOs and POs. or equal to 10 years. Item 5 Corporate Securities Report according to the current ratings, not the ratings issued at inception. If no public ratings are available, but Item 5a Commercial Paper. internal ratings are available, the internal definitions may Report in the appropriate columns transactions in dollar be used. If several public ratings are available, the lowest denominated commercial paper including unsecured and of the ratings should be used for reporting.

Weekly Report of Dealer Transactions B-3 FR 2004B January 2015 FR 2004B

Item 5e Investment Grade Bonds, Notes, and (BB+ or lower) that are due in more than five years but in Debentures due in more than 10 years. less than or equal to 10 years. Report in the appropriate columns transactions in dollar Report according to the current ratings, not the ratings denominated bonds, notes, debentures and equipment issued at inception. If no public ratings are available, but trust certificates that are rated investment grade (BBB or internal ratings are available, the internal definitions may better) and are due in more than 10 years. be used. If several public ratings are available, the lowest of the ratings should be used for reporting. Report according to the current ratings, not the ratings issued at inception. If no public ratings are available, but Item 5i Below Investment Grade Bonds, Notes, internal ratings are available, the internal definitions may and Debentures due in more than 10 years. be used. If several public ratings are available, the lowest of the ratings should be used for reporting. Report in the appropriate columns transactions in dollar denominated bonds, notes, debentures and equipment Item 5f Below Investment Grade Bonds, Notes, trust certificates that are rated below investment grade and Debentures due in less than or equal to 13 (BB+ or lower) that are due in more than 10 years. months. Report according to the current ratings, not the ratings Report in the appropriate columns transactions in dollar issued at inception. If no public ratings are available, but denominated bonds, notes, debentures and equipment internal ratings are available, the internal definitions may trust certificates that are rated below investment grade be used. If several public ratings are available, the lowest (BB+ or lower) that are due in less than or equal to 13 of the ratings should be used for reporting. months. Item 6 State and Municipal Government Report according to the current ratings, not the ratings Obligations. issued at inception. If no public ratings are available, but Item 6a State and Municipal Government internal ratings are available, the internal definitions may Obligations due in less than or equal to 13 months. be used. If several public ratings are available, the lowest of the ratings should be used for reporting. Report in the appropriate columns transactions in state and municipal government obligations due in less than or Item 5g Below Investment Grade Bonds, Notes, equal to 13 months. Include municipal commercial paper and Debentures due in more than 13 months but as well as taxable municipal obligations. Do not include less than or equal to five years. transactions reported on Line 6e. Report in the appropriate columns transactions in dollar Item 6b State and Municipal Government denominated bonds, notes, debentures and equipment Obligations due in more than 13 months but in less trust certificates that are rated below investment grade than or equal to five years. (BB+ or lower) that are due in more than 13 months but in less than or equal to five years. Report in the appropriate columns transactions in state and municipal government obligations due in more than Report according to the current ratings, not the ratings 13 months but in less than or equal to five years.. Include issued at inception. If no public ratings are available, but taxable municipal obligations. Do not include transac- internal ratings are available, the internal definitions may tions reported on Line 6e. be used. If several public ratings are available, the lowest of the ratings should be used for reporting. Item 6c State and Municipal Government Obligations due in more than five years but in less Item 5h Below Investment Grade Bonds, Notes, than or equal to 10 years. and Debentures due in more than five years but in Report in the appropriate columns transactions in state less than or equal to 10 years. and municipal government obligations due in more than Report in the appropriate columns transactions in dollar five years but in less than or equal to 10 years. Include denominated bonds, notes, debentures and equipment taxable municipal obligations. Do not include transac- trust certificates that are rated below investment grade tions reported on Line 6e.

B-4 Weekly Report of Dealer Transactions FR 2004B January 2015 FR 2004B

Item 6d State and Municipal Government Item 8 Total (Lines 1 through 7) Obligations due in more than 10 years. Maturity Classifications Report in the appropriate columns transactions in state Report U.S. Treasury, Corporate, State and Municipal and municipal government obligations due in more than securities in the appropriate maturity classification row 10 years. Include taxable municipal obligations. Do not on the FR 2004B based on remaining maturity. As the include transactions reported on Line 6e. remaining maturity decreases, the security is shifted from one maturity classification to another. If the shift occurs Item 6e State and Municipal Government on a Wednesday, categorize the security in the new Obligations Variable Rate Demand Notes (VRDNs). maturity classification row on that Wednesday’s report. Report in the appropriate columns transactions in vari- When-issued securities should be categorized based on able rate state and municipal government obligations of the time remaining to maturity calculated from the issue any maturity. VRDNs are floating rate obligations that date (e.g., a when-issued, 2-year U.S. Treasury note have a long term maturity but have a coupon rate that should be reported in line 1b, U.S. Treasury Securities: resets periodically. Also include auction rate securities, Coupons due in less than or equal to 2 years). inverse floaters, and lower floaters. Do not report auction STRIPS and other stripped securities should be catego- rate preferred securities issued by bond funds. rized based on the time remaining to the payment date for each IO component, and to the redemption date for the Item 7 Asset-Backed Securities PO component. For example, report a stripped 30-year U.S. Treasury bond with 60 coupon payments (two Item 7a Credit Card-Backed Securities. interest payments per year; 60 IO components) as follows: Report in the appropriate columns transactions in asset- backed securities collateralized predominantly by credit • The sum of the first 4 IO components in line 1c (U.S. card receivables, i.e., extensions of credit to individuals Treasury Coupons due in less than or equal to 2 years); for household, family, and other personal expenditures • The sum of the next 2 IO components in line 1d (U.S. arising from credit cards. Treasury Coupons due in more than 2 years but less than or equal to 3 years); Item 7b Student Loan-Backed Securities. • The sum of the next 6 IO components in line 1e (U.S. Report in the appropriate columns transactions in asset- Treasury Coupons due in more than 3 years but less backed securities collateralized predominantly by student than or equal to 6 years); loans. • The sum of the next 2 IO components in line 1f (U.S. Treasury Coupons due in more than 6 years but less Item 7c Automobile Loan-Backed Securities. than or equal to 7 years), Report in the appropriate columns transactions in asset- • The sum of the next 8 IO components in line 1g (U.S. backed securities collateralized predominantly by auto- Treasury Coupons due in more than 7 years but less mobile loans, i.e., loans to individuals for the purpose of than or equal to 11 years), purchasing private passenger vehicles, including mini- • The sum of the remaining 38 IO components and the vans, vans, SUVs, pickup trucks, and similar light trucks PO component in line 1h (U.S. Treasury Coupons due for personal use. in more than 11 years).

Item 7d Other Asset-Backed Securities. Cancels and Corrections Report in the appropriate columns transactions in asset- When cancels and corrections to prior period FR 2004B backed securities collateralized predominantly by loans data occur, they may be corrected by reducing or increas- other than those listed in 7a-7c including CLOs. Do not ing the next period’s transactions by the amount of the include MBS. correction. The revisions cannot be applied to the next

Weekly Report of Dealer Transactions B-5 FR 2004B January 2015 FR 2004B

period’s transactions if the cancellation or correction for the prior period should be submitted. Instances where from the prior period results in a negative amount in the the subsequent adjustment distorts the next period’s data next period’s transactions. In that case, a revised report signiﬁcantly may require a restatement to be submitted.

B-6 Weekly Report of Dealer Transactions FR 2004B January 2015 INSTRUCTIONS FOR THE PREPARATION OF THE Weekly Report of Dealer Financing and Fails FR 2004C

Accounting Rules Report on a gross basis; do not net borrowings against loans. (FIN 41 does not apply to this report.) Securities Financings - Report repurchase and reverse repurchase agreement financing (including General Col- Settlement Fails - Report settlement fails from cash and lateral Financing (GCF) settled using FICC) as well as financing transactions, including aged fails, at principal other collateralized financing that is outstanding as-of the value, excluding accrued interest. Report financing trans- FR 2004C report date using settlement date accounting. actions that fail at the amount that was to be paid or A repurchase agreement is a contract involving the received on the day the failed trade was to be settled. ‘‘sale’’ of financial assets by one party to another, subject Report on a cumulative basis (including weekends and to an agreement by the ‘‘seller’’ to repurchase the assets holidays) for the reporting period only. Failed transac- at a specified date or in specified circumstances. A tions that are outstanding two days or more should be reverse repurchase agreement (also known as a resale summed each day they are outstanding during the report- agreement) is a contract involving the ‘‘purchase’’ of ing period. Also include in line 6d (Federal Agency and financial assets by one party from another, subject to an GSE mortgage-backed securities fails) TBA MBS when agreement by the ‘‘purchaser’’ to resell the assets at a the settlement date is delayed beyond the contractual specified date or in specified circumstances. Include all settlement date. financing arrangements where the underlying collateral are: Do not add fails that were outstanding in a prior reporting period to the cumulative total calculated for the current • U.S. Treasury Securities including TIPS, STRIPS, and reporting period. For example, report a fail of $1 million Floating Rate Notes (FRNs). that began on Tuesday in reporting period 1 and is • Federal Agency and GSE Securities (excluding MBS) delivered on Friday of reporting period 2 as: • Federal Agency and GSE MBS • $2 million for reporting period 1; and • Corporate Debt including commercial paper • $1 million (Thursday only) for reporting period 2. • Asset-backed Securities Types of Financing • Equities • All Other dollar denominated, debt instruments used as Line-by-Line Instructions collateral including non-Agency or GSE-issued MBS, For each item, report contractual arrangements or the CMOs, REMICS, and State and Municipal securities. pledge of securities to be received from or delivered to Do not include financing arrangements where the counterparties in columns 1-3 according to the remaining underlying collateral consists of international securi- contract term as follows: ties, whole loans, or money market instruments such as negotiable CDs and bankers acceptances. • Column 1 Overnight and Continuing. An overnight financing agreement is an agreement that settles on one Report the actual funds paid or received. If only securi- business day and matures on the next business day. A ties are exchanged, report the fair (market) value of the continuing contract agreement is an agreement that securities pledged. remains in effect for more than one business day, but

Weekly Report of Dealer Financing and Fails C-1 FR 2004C January 2015 FR 2004C

has no specific maturity and can be terminated on ments, matched sale-purchase agreements, or any form of demand by either the borrower or the lender. synthetic equivalents. • Column 2 Term Agreements (less than 30 days). A Item 1e Repurchase Agreements Corporate Debt. term agreement with an original fixed maturity of more than one day but less than 30 days that is not a Report repurchase agreements where the collateral pro- continuing contract. vided to the lender is dollar denominated corporate debt as defined for these forms, including those with the • Column 3 Term Agreements (30 days or greater). A FRBNY. Include GCF agreements, bilateral agreements, term agreement with an original fixed maturity of more tri-party agreements and HIC agreements. Include than 30 days that is not a continuing contract. matched sale-purchase agreements, or any form of synthetic equivalents. Item 1 Repurchase Agreements Item 1a Repurchase Agreements U.S. Treasury Item 1f Repurchase Agreements Asset-backed Securities (excluding TIPS). Securities. Report repurchase agreements where the collateral pro- Report repurchase agreements where the collateral provided to the lender is U.S. Treasury bills, coupon securi- vided to the lender is dollar denominated Asset-backed ties, and Floating Rate Notes (FRNs) including those securities as defined for these formes, including those with the FRBNY. Include GCF agreements, bilateral with the FRBNY. Include GCF agreements, bilateral agreements, tri-party agreements and hold-in-custody repurchase agreements, tri-party agreements and HIC (HIC) agreements. Include matched sale-purchase agree- agreements. Include matched sale-purchase agreements, ments, or any form of synthetic equivalents. or any form of synthetic equivalents.

Item 1b Repurchase Agreements U.S. Treasury Item 1g Repurchase Agreements Equities. Inﬂation-Protected Securities (TIPS). Report repurchase agreements where the collateral pro- Report repurchase agreements where the collateral provided to the lender is dollar denominated equities, includ- vided to the lender is U.S. TIPS, including those with the ing those with the FRBNY. Include GCF repurchase FRBNY. Include GCF agreements, bilateral agreements, agreements, bilateral repurchase agreements, tri-party tri-party agreements and HIC agreements. Include repurchase agreements and HIC agreements. Include matched sale-purchase agreements, or any form of syn- matched sale-purchase agreements, or any form of synthetic equivalents. thetic equivalents.

Item 1c Repurchase Agreements Federal Agency Item 1h Repurchase Agreements Other Collateral. and GSE Securities (excluding MBS). Report repurchase agreements where the collateral pro- Report repurchase agreements where the collateral provided to the lender is other dollar denominated collateral vided to the lender are U.S. Agency and GSE debentures, as speciﬁed above, including those with the FRBNY. including those with the FRBNY. Include GCF agree- Include GCF repurchase agreements, bilateral repurchase ments, bilateral agreements, tri-party agreements and agreements, tri-party repurchase agreements and HIC HIC agreements. Include matched sale-purchase agree- agreements. Include matched sale-purchase agreements, ments, or any form of synthetic equivalents. or any form of synthetic equivalents. Item 1d Repurchase Agreements Federal Agency 2 Reverse Repurchase Agreements and GSE MBS Securities. Item 2a Reverse Repurchase Agreements U.S. Report repurchase agreements where the collateral pro- Treasury Securities (excluding TIPS). vided to the lender are U.S. Agency and GSE MBS securities, including those with the FRBNY. Include GCF Report reverse repurchase agreements where the collat- agreements, bilateral agreements, tri-party agreements eral provided to the borrower is U.S. Treasury bills, and HIC agreements. Include dollar repurchase agree- coupon securities, and Floating Rate Notes (FRNs),

C-2 Weekly Report of Dealer Financing and Fails FR 2004C January 2015 FR 2004C

including those with the FRBNY. Include GCF agree- asset-backed securities as defined for these forms, includ- ments, bilateral agreements, tri-party agreements and ing those with the FRBNY. Include GCF agreements, HIC agreements. Include matched sale-purchase agree- bilateral agreements, tri-party agreements and HIC agreements, or any form of synthetic equivalents. ments. Include matched sale-purchase agreements, or any form of synthetic equivalents. Item 2b Reverse Repurchase Agreements U.S. Treasury Inflation-Protected Securities (TIPS). Item 2g Reverse Repurchase Agreements Equities. Report reverse repurchase agreements where the collateral provided to the borrower is U.S. TIPS, including Report reverse repurchase agreements where the collat- those with the FRBNY. Include GCF agreements, bilateral provided to the borrower is dollar denominated eral agreements, tri-party agreements and HIC agree- equities, including those with the FRBNY. Include GCF ments. Include matched sale-purchase agreements, or any agreements, bilateral agreements, tri-party agreements form of synthetic equivalents. and HIC agreements. Include matched sale-purchase agreements, or any form of synthetic equivalents. Item 2c Reverse Repurchase Agreements Federal Agency and GSE Securities (excluding MBS). Item 2h Reverse Repurchase Agreements Other Report reverse repurchase agreements where the collat- Collateral. eral provided to the borrower is U.S. Agency and GSE Report reverse repurchase agreements where the collat- debentures, including those with the FRBNY. Include eral provided to the borrower is other dollar denominated GCF agreements, bilateral agreements, tri-party agree- collateral as specified above, including those with the ments and HIC agreements. Include matched sale- FRBNY. Include GCF agreements, bilateral agreements, purchase agreements, or any form of synthetic equiva- tri-party agreements and HIC agreements. Include lents. matched sale-purchase agreements, or any form of synthetic equivalents. Item 2d Reverse Repurchase Agreements Federal Agency and GSE MBS Securities. Item 3 Other Financing Activity-Securities Lent Report reverse repurchase agreements where the collateral provided to the borrower is U.S. Agency and GSE Item 3a Other Financing Activity-Securities Lent MBS securities, including those with the FRBNY. Include U.S. Treasury Securities (excluding TIPS). GCF agreements, bilateral agreements, tri-party agree- Report other securities financing activities where the ments and HIC agreements. Include dollar repurchase collateral provided to the lender is U.S. Treasury bills, agreements, matched sale-purchase agreements, or any coupon securities, and Floating Rate Notes (FRNs), form of synthetic equivalents. including those with the FRBNY. Include securities lent Item 2e Reverse Repurchase Agreements for cash, securities pledged by the reporting entity to Corporate Debt. secure a borrowing of other securities, and other forms of collateralized financing agreements, including cash Report reverse repurchase agreements where the collat- received from a collateralized loan. eral provided to the borrower is dollar denominated corporate debt as defined for these forms, including those with the FRBNY. Include GCF agreements, bilateral Item 3b Other Financing Activity-Securities Lent agreements, tri-party agreements and HIC agreements. U.S. Treasury Inflation Protected Securities (TIPS). Include matched sale-purchase agreements, or any form Report other securities financing activities where the of synthetic equivalents. collateral provided to the lender is U.S. TIPS securities, including those with the FRBNY. Include TIPS lent for Item 2f Reverse Repurchase Agreements cash, TIPS pledged by the reporting entity to secure a Asset-backed Securities. borrowing of other securities, and other forms of collat- Report reverse repurchase agreements where the collateralized financing agreements, including cash received eral provided to the borrower is dollar denominated from a loan collateralized with TIPS.

Weekly Report of Dealer Financing and Fails C-3 FR 2004C January 2015 FR 2004C

Item 3c Other Financing Activity-Securities Lent U.S. equities, including those with the FRBNY. Include U.S. Federal Agency and GSE Securities (excluding stocks lent for cash, stocks pledged by the reporting MBS). entity to secure a borrowing of other securities, and other forms of collateralized financing agreements, including Report other securities financing activities where the cash received from a collateralized loan. collateral provided to the lender is U.S. Agency and GSE debentures, including those with the FRBNY. Include Item 3h Other Financing Activity-Securities Lent securities lent for cash, securities pledged by the report- Other Collateral. ing entity to secure a borrowing of other securities, and other forms of collateralized financing agreements, includ- Report other securities financing activities where the ing cash received from a collateralized loan. collateral provided to the lender is other dollar denominated collateral as specified above, including those with Item 3d Other Financing Activity-Securities Lent the FRBNY. Include securities lent for cash, securities U.S. Federal Agency and GSE MBS. pledged by the reporting entity to secure a borrowing of other securities, and other forms of collateralized financ- Report other securities financing activities where the ing agreements, including cash received from a collater- collateral provided to the lender is U.S. Agency and GSE alized loan. MBS, including those with the FRBNY. Include securities lent for cash, securities pledged by the reporting Item 4 Other Financing Activity-Securities- entity to secure a borrowing of other securities, and other Securities Borrowed forms of collateralized financing agreements, including cash received from a collateralized loan. Item 4a Other Financing Activity-Securities Borrowed U.S. Treasury Securities (excluding TIPS). Item 3e Other Financing Activity-Securities Lent Report other securities financing activities where the U.S. Corporate Debt. collateral provided to the borrower is U.S. Treasury bills, Report other securities financing activities where the coupon securities, and Floating Rate Notes (FRNs), collateral provided to the lender is dollar denominated including those with the FRBNY. Include securities corporate debt as defined for these forms, including those borrowed for cash, securities received as a pledge by the with the FRBNY. Include securities lent for cash, securi- reporting entity to secure a loan of other securities, and ties pledged by the reporting entity to secure a borrowing other forms of collateralized financing agreements, includ- of other securities, and other forms of collateralized ing cash lent from a collateralized loan. financing agreements, including cash received from a collateralized loan. Item 4b Other Financing Activity-Securities Borrowed U.S. Treasury Inflation-Protected Item 3f Other Financing Activity-Securities Lent Securities (TIPS). Asset-backed Securities. Report other securities financing activities where the Report other securities financing activities where the collateral provided to the borrower is U.S. TIPS securi- collateral provided to the lender is dollar denominated ties, including those with the FRBNY. Include TIPS asset-backed securities as define for these forms, includ- borrowed for cash, TIPS received as a pledge by the ing those with the FRBNY. Include securities lent for reporting entity to secure a loan of other securities, and cash, securities pledged by the reporting entity to secure a other forms of collateralized financing agreements, includ- borrowing of other securities, and other forms of collat- ing cash lent from a loan collateralized with TIPS. eralized financing agreements, including cash received from a collateralized loan. Item 4c Other Financing Activity-Securities Borrowed U.S. Federal Agency and GSE Securities Item 3g Other Financing Activity-Securities Lent (excluding MBS). U.S. Equities. Report other securities financing activities where the Report other securities financing activities where the collateral provided to the borrower is U.S. Agency and collateral provided to the lender is dollar denominated GSE debentures, including those with the FRBNY.

C-4 Weekly Report of Dealer Financing and Fails FR 2004C January 2015 FR 2004C

Include securities borrowed for cash, securities received Item 4h Other Financing Activity-Securities as a pledge by the reporting entity to secure a loan of Borrowed Other Collateral. other securities, and other forms of collateralized financ- Report other securities financing activities where the ing agreements, including cash lent from a collateralized collateral provided to the borrower is other dollar denomi- loan. nated collateral as specified above, including those with Item 4d Other Financing Activity-Securities the FRBNY. Include securities borrowed for cash, secu- Borrowed U.S. Federal Agency and GSE MBS. rities received as a pledge by the reporting entity to secure a loan of other securities, and other forms of Report other securities financing activities where the collateralized financing agreements, including cash lent collateral provided to the borrower is U.S. Agency and from a collateralized loan. GSE MBS, including those with the FRBNY. Include securities borrowed for cash, securities received as a Item 5 Total. pledge by the reporting entity to secure a loan of other securities, and other forms of collateralized financing Report the sum of items 1-4. agreements, including cash lent from a collateralized loan. Aggregate Settlement Fails Item 6 Aggregate Fails (Cumulative for the Item 4e Other Financing Activity-Securities Reporting Period). For each item, report fails to Borrowed U.S. Corporate Debt. receive in column 1 and fails to deliver in column 2. Report other securities financing activities where the Item 6a U.S. Treasury Securities (excluding TIPS). collateral provided to the borrower is dollar denominated corporate debt as defined for these forms, including those Report in the appropriate columns fails to receive and with the FRBNY. Include securities borrowed for cash, fails to deliver of U.S. Treasury securities including securities received as a pledge by the reporting entity to Floating Rate Notes (FRNs) (excluding TIPS). secure a loan of other securities, and other forms of collateralized financing agreements, including cash lent Item 6b U.S. Treasury Inflation-Protected from a collateralized loan. Securities (TIPS). Report in the appropriate columns fails to receive and Item 4f Other Financing Activity-Securities fails to deliver of U.S. Treasury TIPS. Borrowed Asset-backed Securities. Report other securities financing activities where the Item 6c Federal Agency and GSE Securities collateral provided to the borrower is dollar denominated (excluding MBS). asset-backed securities as defined for these forms, includ- Report in the appropriate columns fails to receive and ing those with the FRBNY. Include securities borrowed fails to deliver federal agency and GSE securities (exclud- for cash, securities received as a pledge by the reporting ing MBS). entity to secure a loan of other securities, and other forms of collateralized financing agreements, including cash Item 6d Federal Agency and GSE MBS. lent from a collateralized loan. Report in the appropriate columns fails to receive and Item 4g Other Financing Activity-Securities fails to deliver federal agency and GSE MBS. Borrowed U.S. Equities. Item 6e Other MBS. Report other securities financing activities where the collateral provided to the borrower is dollar denominated Report in the appropriate columns fails to receive and U.S. equities, including those with the FRBNY. Include fails to deliver of non-Agency and GSE MBS. stocks borrowed for cash, stocks received as a pledge by Item 6f Corporate Securities. the reporting entity to secure a loan of other securities, and other forms of collateralized financing agreements, Report in the appropriate columns fails to receive and including cash lent from a collateralized loan. fails to deliver corporate securities.

Weekly Report of Dealer Financing and Fails C-5 FR 2004C January 2015 FR 2004C

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

C-6 Weekly Report of Dealer Financing and Fails FR 2004C January 2015 INSTRUCTIONS FOR THE PREPARATION OF THE Weekly Report of Speciﬁc Issues FR 2004SI

Accounting Rules Row Definitions Report position and transaction data on the FR 2004SI at Submit the securities on the FR 2004 SI in the same order the original issuance par amount. Positions on the FR each week. Fixed principal securities should be listed 2004SI are reported using settlement date accounting. first in ascending maturity order followed by the TIPS Long and short positions in the same issue should be securities, also in ascending order. Based on the U.S. reported net by CUSIP, therefore, a negative value can be Treasury’s current offering schedule, the reported securi- reported in column 4 (net settled position). ties are: However, transactions reported on the FR 2004SI are • Line # 1 - 2-year U.S. Treasury note reported using trade date accounting. Report on a cumulative basis. Do not net purchases and sales. • Line # 2 - 3-year U.S. Treasury note Report financing data, including security vs. security • Line # 3 - 5-year U.S. Treasury note exchanges, at the original issuance par amount of the • Line # 4 - 7-year U.S. Treasury note collateral. Report financing that is outstanding as-of the report date using trade date accounting. Report on a gross • Line # 5 - 10-year U.S. Treasury note basis FIN 41 does not apply to this report). • Line # 6 - 30-year U.S. Treasury bond • Line # 7 - 5-year TIPS note Reportable Securities • Line # 8 - 10-year TIPS note Report position, transaction, financing, and fails data for • Line # 9 - 30-year TIPS bond the most recently issued (i.e., on-the-run) U.S. Treasury • Line # 10 - Treasury Floating Rate Notes securities, including Floating Rate Notes (FRNs) and (any maturity) TIPS, for each maturity classification on the FR 2004SI. Once a when-issued security has been issued, it replaces Column 1 Security and Rate the security with the same maturity classification on the FR 2004SI and the security stops being reported on the Report the most recently issued on-the-run security for FR 2004 WI. For example, a 2-year U.S. Treasury note each maturity classification of U.S. Treasury fixed income, that has been issued is no longer reported on the FR floating rate, and TIPS notes and bonds. Identify securi- 2004WI and begins to be reported on the FR 2004SI as of ties by coupon and maturity date in yyyymmdd format. 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 Columns 2 through 3 Outright Cumulative note is newly issued or re-opened by the U.S. Treasury. Transactions The current list of securities reported on the FR 2004SI is Report data using trade date accounting at the original maintained on the FR 2004SI Guide Sheet, which is issuance par amount. Report gross outright purchases and available on the FRBNY website at: http:// sales on a cumulative basis for each reportable security www.newyorkfed.org/markets/primarydealers.html for the business days since the previous report (Thursday

Weekly Report of Speciﬁc Issues SI-1 FR 2004SI January 2015 FR 2004SI

through Wednesday). Do not net purchases and sales. Types of Financing Exclude forward transactions. • Columns 5 through 8 Securities In When a new issue is added to the report, include the cumulative transactions in that issue since the closing Report contractual arrangements or the pledge of securi- date of the previous FR 2004SI, even though some of ties to be received from counterparties. Report the follow- these transactions may have been reported on the ing on the FR 2004SI: FR 2004WI. Except for holiday weeks, you should report • Reverse repurchase agreements including those with ﬁve days of transactions for each issue on the FR 2004SI. the FRBNY. Include tri-party reverse repurchase agree- For example, if a new 5-year U.S. Treasury note is issued ments, GCF, bilateral, and HIC agreements. on Tuesday, report the transactions in that issue for the Include dollar reverse repurchase agreements, matched full Thursday through Wednesday reporting period, even sale-purchase agreements, or any form of synthetic though the transactions on Thursday through Monday equivalents. were already reported on the FR 2004WI. • Securities borrowed, which are contractual agreements When a re-opened security is added to the report, include in which securities are borrowed from counterparties, the cumulative transactions in that security since its issue including a Federal Reserve Bank. Report the funds date plus the cumulative transactions in the originally that have been lent. If only securities are exchanged, issued security since the closing date of the previous report the fair (market) value of the securities. FR 2004SI. Therefore, transactions reported on the FR 2004WI for the re-opened security will not be • Securities received as pledge, which are securities that reported on the FR 2004SI. were received by the reporting entity as a pledge against a loan of securities. Report the fair (market) For example, if a re-opened 10-year U.S. Treasury note is value of the securities. issued on Monday, report the transactions in that issue on Monday through Wednesday and add to it the transac- • Collateral received from counterparties as a result of a tions in the originally issued 10-year U.S. Treasury note margin payment, margin call or other type of similar on Thursday and Friday. collateral deposit, or collateral held for another ﬁnan- cial contract (e.g., derivatives). Column 4 Net Settled Positions • Columns 9 through 12 Securities Out Report data using settlement date accounting valued at Report contractual arrangements or the pledge of securi- the original issuance par amount. Long and short posi- ties to be delivered to counterparties. Report the follow- tions in the same issue should be reported net by CUSIP; ing on the FR 2004SI. therefore, a negative value can be reported in this col- • Repurchase agreements including those with the umn. Report a trade arranged for settlement on or before FRBNY. Include tri-party repurchase agreements, GCF, the closing date of the report as settled, even if a fail bilateral, and HIC agreements. occurs. If such a trade fails to clear, report it as a fail and report it as part of the net settled position. Exclude Include dollar repurchase agreements, matched sale- positions in forward contracts. purchase agreements, or any form of synthetic equivalents. Columns 5 through 12 Gross Financing • Securities lent, which are contractual agreements in which securities are lent to counterparties, including a Report data, including when only securities are exchanged, Federal Reserve Bank. Report the funds that have been using trade date accounting at the original issuance par borrowed. If only securities are exchanged, report the amount of the collateral. Report on a gross basis; do not fair (market) value of the securities. net borrowings against loans even if the counterparty, term, and security are identical (FIN 41 does not apply to • Securities pledged, which are securities that were this report). pledged by the reporting entity to secure a borrowing

SI-2 Weekly Report of Speciﬁc Issues FR 2004SI January 2015 FR 2004SI

of securities. Report the fair (market) value of the Columns 13 and 14 Fails securities. Report data at the original issuance par amount of the • Collateralized loans, which are the reporting entity’s collateral. Do not report on a cumulative basis. Report cash borrowings that have been secured by securities. failed transactions and failed financing transactions that Report the cash received from a loan. occurred on the as-of date only. • Collateral delivered to counterparties (e.g., a clearing corporation) as a result of a margin payment, margin Column 15 FRBNY Security ID call or other type of similar collateral deposit, or The FRBNY security ID is the number of years of the collateral sent for another financial contract (e.g., original term to maturity for fixed principal securities. To derivatives). distinguish reporting of TIPS securities, which have the same original maturity number of years as the fixed Columns 5, 6, 9, and 10 Specific Transactions principal securities, 50 should be added to the number of Report as ‘‘specific transactions,’’ transactions where years of the original term to maturity. Re-opened securi- collateral is identified before the rate is agreed to by the ties retain the same FRBNY security ID as the new issue. counterparties, as in a bid for or offer of a particular Based on the U.S. Treasury’s current offering schedule, CUSIP. the reported FRBNY security ID will be: • Line #1 - 2 Columns 7, 8, 11 and 12 General Transactions • Line #2 - 3 Report as ‘‘general transactions,’’ transactions where the • Line #3 - 5 parties agree to borrow/lend any member of a class of securities (such as ‘‘a Treasury issue’’ or ‘‘a Treasury • Line #4 - 7 issue no longer than 10 years to maturity’’), where the • Line #5 - 10 specific collateral in the transaction to be delivered pursuant to the agreement is identified after the class and • Line #6 - 30 rate are negotiated. Tri-party and GCF repos are ‘‘general • Line #7 - 55 (derived by adding 50 to 5) transactions’’ as is a deliver versus payment repo where the collateral is identified after the rate, term, and class • Line #8 - 60 (derived by adding 50 to 10) are agreed upon. In ‘‘general transactions’’ the lender of • Line #9 - 80 (derived by adding 50 to 30) collateral has some latitude in its choice of collateral delivered. • Line #10 - 100

Columns 5, 7, 9, 11 Overnight/Continuing Line-by-Line Instructions Report as ‘‘overnight and continuing,’’ financing agree- For each item, report security information in column 1, ments. An overnight financing agreement is an agree- cumulative outright transactions in columns 2 and 3, net ment that settles on one business day and matures on the settled positions in column 4, gross financing in columns next business day. A continuing contract agreement is an 5-12, fails data in columns 13 and 14, and the FRBNY agreement that remains in effect for more than one security ID in column 15. business day, but has no specific maturity and can be terminated by either the borrower or the lender. Line Caption and Instructions Columns 6, 8, 10, 12 Term Item 1 2-year U.S. Treasury note. Report as ‘‘term’’ financing agreements. A term agree- Report in the appropriate columns security information, ment is an agreement with an original fixed maturity of cumulative outright transactions, net settled position, more than one business day that is not a continuing gross financing, fails data, and the FRBNY security ID contract. for the on-the-run 2-year U.S. Treasury note.

Weekly Report of Speciﬁc Issues SI-3 FR 2004SI January 2015 FR 2004SI

Item 2 3-year U.S. Treasury note. gross financing, fails data, and the FRBNY security ID for the on-the-run 30-year U.S. Treasury bond. Report in the appropriate columns security information, cumulative outright transactions, net settled position, Item 7 5-year TIPS note. gross financing, fails data, and the FRBNY security ID Report in the appropriate columns security information, for the on-the-run 3-year U.S. Treasury note. cumulative outright transactions, net settled position, Item 3 5-year U.S. Treasury note. gross financing, fails data, and the FRBNY security ID for the on-the-run 5-year TIPS note. Report in the appropriate columns security information, cumulative outright transactions, net settled position, Item 8 10-year TIPS note. gross financing, fails data, and the FRBNY security ID Report in the appropriate columns security information, for the on-the-run 5-year U.S. Treasury note. cumulative outright transactions, net settled position, gross financing, fails data, and the FRBNY security ID Item 4 7-year U.S. Treasury note. for the on-the-run 10-year TIPS note. Report in the appropriate columns security information, Item 9 30-year TIPS bond. cumulative outright transactions, net settled position, gross financing, fails data, and the FRBNY security ID Report in the appropriate columns security information, for the on-the-run 7-year U.S. Treasury note. cumulative outright transactions, net settled position, gross financing, fails data, and the FRBNY security ID Item 5 10-year U.S. Treasury note. for the on-the-run 30-year TIPS bond. Report in the appropriate columns security information, Item 10 Treasury Floating Rate Note. cumulative outright transactions, net settled position, Report in the appropriate columns security information, gross financing, fails data, and the FRBNY security ID cumulative outright transactions, net settled position, for the on-the-run 10-year U.S. Treasury note. gross financing, fails data, and the FRBNY security ID for the on-the-run Treasury FRNs. Item 6 30-year U.S. Treasury bond. Report in the appropriate columns security information, Total cumulative outright transactions, net settled position, Report the sums of items 1 through 10.

SI-4 Weekly Report of Speciﬁc Issues FR 2004SI January 2015 INSTRUCTIONS FOR THE PREPARATION OF THE Daily Report of Speciﬁc Issues FR 2004SD

Accounting Rules http://www.newyorkfed.org/markets/ primarydealers.html Report position and transaction data on the FR 2004SD at the original issuance par amount. Positions on the FR The FR 2004SD data and the FR 2004SI data should be 2004SD are reported using settlement date accounting. transmitted separately via the Long and short positions in the same issue should be Reporting Central system. The FR 2004SD data should reported net by CUSIP, therefore, a negative value can be be reported based on the data definitions and accounting reported in column 3 (net settled position). rules that apply to the FR 2004SI. Transactions on the FR 2004SD are reported using trade date accounting. Do not net purchases and sales. Column 1 Security and Rate Report financing data, including security vs. security Provide information for each requested security based on exchanges, at the original issuance par amount of the the information in the announcement of a FR 2004SD collateral. report and on the FR 2004SD Guide Sheet. Identify securities by coupon and maturity date in yyyymmdd Report financing that is outstanding as-of the report date format. using trade date accounting. Report on a gross basis; do not net borrowings against Supplemental Information loans (FIN 41 does not apply to this report). The FR 2004SD report form also contains fields for the collection of additional information deemed to be critical Reportable Securities and needed in an expedited manner from primary dealers. The items of information included on the supple- Report position, transaction, financing, and fails data on a ment may change as needed. Once these data are daily basis for requested securities specified by the requested, specific details and reporting guidelines can be FRBNY on the FR 2004SD. These data are reported daily obtained from: http://www.newyorkfed.org/markets/ on demand until notification is received from the FRBNY primarydealers.html. These data are reported daily on to cease daily reporting. Once these data are requested, demand basis until notification is received from the the FR 2004SD Guide Sheet is available at: FRBNY to cease daily reporting.

Daily Report of Speciﬁc Issues SD-1 FR 2004SD March 2013 INSTRUCTIONS FOR THE PREPARATION OF THE Daily Report of Dealer Activity in Treasury Financing FR 2004WI

Accounting Rules Column 1 Security Report position data at the original issuance par amount. Report the description of each note and bond that the U.S. Positions are reported using trade date accounting. Long Treasury has offered for sale but has not yet issued. and short positions should be reported net; therefore, a Include the coupon (when known) (use spread instead of negative value can be reported in column 2 (net outright coupon for FRNs) and maturity date in yyyymmdd positions) of the FR 2004WI. format. For a new issue, the coupon is available on the auction date of the security. For a re-opened issue, the For each new and re-opened U.S. Treasury security coupon is available at the time of the offering. offered for sale but not yet issued, report the net outright position, net forward financing commitments and cumulative outright transactions. Report daily during the when- Column 2 Net Outright Positions issued trading period, which is the time between the Report net outright positions in the when-issued security announcement and date of issue (settlement date). The and the outstanding security if the U.S. Treasury has first FR 2004WI is due on the business day following a re-opened an issue. Include positions for when-issued financing announcement, for positions as of the close of delivery, delivery dates after issuance, or in the case of business the day of the announcement. The last report is the outstanding security, any delivery date. Long and due on the settlement date for information as of close of short positions should be reported net by security; there- business the previous business day. fore, a negative value can be reported in column 2 (net Announcement information can be obtained from: http:// outright positions) of the FR 2004WI. www.treasurydirect.gov/instit/annceresult/press/ Include reporting entity allotments (securities received press.htm The current list of securities to be reported through auction as a result of reporting entities bidding on the FR 2004WI is maintained on the FR 2004WI for their own accounts) from the U.S. Treasury as a gross Guide Sheet, which can be obtained from: http:// long position on the auction date only. Exclude customer www.newyorkfed.org/markets/primarydealers.html awards of securities from net outright positions. No Activity Column 3 Net Forward Financing If a reporting entity does not have any when-issued Commitments activity, a report must be submitted reflecting zero data. A forward commitment is a financing transaction (as Re-Opened Security defined for the FR 2004C) that is scheduled to begin on a date after the report date. For example, an agreement to Report net outright positions, net forward financing finance at issuance. Report any forward financing com- commitments, and cumulative outright transactions on mitments involving a re-opened or new when-issued both the previously issued security and the when-issued security even if no outright position is held. When the security as of close of business the prior day. If there is an U.S. Treasury re-opens an issue, report the net forward existing position for the previously issued security in financing commitments for both the security being traded inventory, this position should be included in the net as a when-issue security and for the security being traded outright position column on day 1. on-the-run. Long and short positions should be reported

Daily Report of Dealer Activity in Treasury Financing WI-1 FR 2004WI January 2015 FR 2004WI

net by security, therefore, a negative value can be ties received from bids placed on behalf of a customer by reported in column 3 (net forward financing commit- a reporting entity). ments) of the FR 2004WI. A repurchase agreement or commitment to lend the Line-by-Line Instructions security should be considered a short position. A reverse For each item, report security information in column 1, repurchase agreement or commitment to borrow securi- net outright positions in column 2, net forward financing ties should be considered a long position. Exclude report- commitments in column 3, and cumulative outright trans- ing entity allotments and customer awards (securities actions in columns 4 and 5. received from bids placed on behalf of a customer by a reporting entity). Caption and Instructions Item 1–9 The current list of securities to be Column 4 and 5 Cumulative Outright reported is maintained on the FR 2004WI guide Transactions sheet. Report gross purchases and sales in the appropriate Report in the appropriate columns security information, column. Include transactions in the outstanding security net outright position, net forward financing commit- if the U.S. Treasury has re-opened a security. Report only ments, and cumulative outright transactions for the new the transactions executed on the reporting date. Do not or re-opened U.S. Treasury security that is offered for report cumulative transactions across reporting dates. Do sale but not yet issued. not net purchases and sales. Total Report transactions for any delivery date. Include imme- Report the sums of items 1 through 9. diate, forward and when-issued transactions. Exclude reporting entity allotments and customer awards (securi-

WI-2 Daily Report of Dealer Activity in Treasury Financing FR 2004WI January 2015 INSTRUCTIONS FOR THE PREPARATION OF THE Settlement Cycle Report of Dealer Fails and Transaction Volumes Class A FR 2004FA

Accounting Rules Item 1a. Report fails to receive and fails to deliver in the appropriate columns for coupons lower than Report settlement fails from Agency and GSE TBA and 2.5%. specified pool transactions, at principal value, excluding Item 1b Report fails to receive and fails to deliver accrued interest. Principal value is the face value pur- in the appropriate columns for 2.5%. coupons. chased or sold times the price. Report failed transactions and failed financing transactions that occurred on the Item 1c Report fails to receive and fails to deliver as-of date only. Also include TBA MBS fails when the in the appropriate columns for 3.0% coupons. settlement date is delayed beyond the contractual settle- Item 1d Report fails to receive and fails to deliver ment date. Do not report security fails on a cumulative in the appropriate columns for 3.5% coupons. basis. However, report cumulative TBA and pool transactions for settlement in the reporting month using Item 1e Report fails to receive and fails to deliver trade date accounting. Dealers should report all TBA in the appropriate columns for 4.0% coupons. and pool transactions for that month’s settlement (not Item 1f Report fails to receive and fails to deliver just TBA dollar rolls). Do not net purchases and sales. in the appropriate columns for 4.5% coupons. The settlement calendar for MBS can be located here: Item 1g Report fails to receive and fails to deliver http://www.sifma.org/Services/Standard-Forms-and- in the appropriate columns for 5.0% coupons. Documentation/Securitized-Products/Securitized- Item 1h Report fails to receive and fails to deliver Products_MBS-Notification-and-Settlement-Dates/ in the appropriate columns for 5.5% coupons. Item 1i Report fails to receive and fails to deliver No Activity in the appropriate columns for 6.0% coupons. Item 1j Report fails to receive and fails to deliver If a reporting entity does not have any MBS TBA in the appropriate columns for coupons greater activity, a report must be submitted reflecting zero data. than 6.0%. Item 2 Total. FR 2004 FA-Class A 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 A settlement date for 30-year FNMA (Outrights and Dollar Rolls) with external counterparties (FNCL) and 30-year FHLMC (FGLMC) for coupons for Class A settlement in the reporting month for 30-year listed below. For each item, report FNMA fails to receive FNMA and 30-year FHLMC for coupons listed below. in column 1 and FNMA fails to deliver in column 2. Do not net buys and sells. Include coupon and/or agency Report FHLMC fails to receive in column 3 and FHLMC swaps as outright transactions. For each item, report fails to deliver in column 4. FNMA outright transactions in column 1 and FNMA

Settlement Cycle Report of Dealer Fails and Transaction Volumes FA-1 FR 2004FA January 2015 FR 2004FA

dollar rolls in columns 2. Report FHLMC outright trans- Item 3f Report cumulative MBS TBA and Pool actions in column 3 and FHLMC dollar rolls in column 4. Transactions in the appropriate columns for 4.5% coupons.

Item 3g Report cumulative MBS TBA and Pool Item 3a Report cumulative MBS TBA and Pool Transactions in the appropriate columns for 5.0% Transactions in the appropriate columns for coupons. coupons lower than 2.5%. Item 3h Report cumulative MBS TBA and Pool Item 3b Report cumulative MBS TBA and Pool Transactions in the appropriate columns for 5.5% Transactions in the appropriate columns for 2.5% coupons. coupons. Item 3i Report cumulative MBS TBA and Pool Item 3c Report cumulative MBS TBA and Pool Transactions in the appropriate columns for 6.0% Transactions in the appropriate columns for 3.0% coupons. coupons. Item 3j Report cumulative MBS TBA and Pool Item 3d Report cumulative MBS TBA and Pool Transactions in the appropriate columns coupons Transactions in the appropriate columns for 3.5% greater than 6.0% coupons. Item 4 Total. Item 3e Report cumulative MBS TBA and Pool Transactions in the appropriate columns for 4.0% Report the totals of rows 3a-3j. coupons.

FA-2 Settlement Cycle Report of Dealer Fails and Transaction Volumes FR 2004FA January 2015 INSTRUCTIONS FOR THE PREPARATION OF THE Settlement Cycle Report of Dealer Fails and Transaction Volumes Class B FR 2004FB

Accounting Rules Item 1a. Report fails to receive and fails to deliver in the appropriate columns for coupons lower than Report settlement fails from Agency and GSE TBA and 2.0%. specified pool transactions, at principal value, excluding accrued interest. Principal value is the face value pur- Item 1b Report fails to receive and fails to deliver chased or sold times the price. Report failed transactions in the appropriate columns for 2.0% coupons. and failed financing transactions that occurred on the Item 1c Report fails to receive and fails to deliver as-of date only. Also include TBA MBS fails when the in the appropriate columns for 2.5% coupons. settlement date is delayed beyond the contractual settlement date. Do not report security fails on a cumulative Item 1d Report fails to receive and fails to deliver basis. However, report cumulative TBA and pool trans- in the appropriate columns for 3.0% coupons. actions for settlement in the reporting month using Item 1e Report fails to receive and fails to deliver trade date accounting. Dealers should report all TBA in the appropriate columns for 3.5% coupons. and pool transactions for that month’s settlement (not just TBA dollar rolls). Do not net purchases and sales. Item 1f Report fails to receive and fails to deliver in the appropriate columns for 4.0% coupons. The settlement calendar for MBS can be located here: Item 1g Report fails to receive and fails to deliver http://www.sifma.org/Services/Standard-Forms-and- in the appropriate columns for 4.5% coupons. Documentation/Securitized-Products/Securitized- Products_MBS-Notification-and-Settlement-Dates/ Item 1h Report fails to receive and fails to deliver in the appropriate columns for 5.0% coupons. Item 1i Report fails to receive and fails to deliver No Activity in the appropriate columns for 5.5% coupons. If a reporting entity does not have any MBS TBA Item 1j Report fails to receive and fails to deliver activity, a report must be submitted reflecting zero data. in the appropriate columns for coupons greater than 5.5%.

FR 2004 FB-Class B Settlement Fails Item 2 Total. Report the total of rows 1a-1j. Transaction Volumes Line-by-Line Instructions Settlement Fails Report cumulative MBS TBA and Pool Transactions (Outrights and Dollar Rolls) with external counterparties Report outstanding settlement fails at close of business for Class B settlement in the reporting month for 15-year on the Class B settlement date for 15-year FNMA (FNCI) FNMA and 15-year FHLMC for coupons listed below. and 15-year FHLMC (FGCI) for coupons listed below. Do not net buys and sells. Include coupon and/or agency For each item, report FNMA fails to receive in column 1 swaps as outright transactions. For each item, report and FNMA fails to deliver in column 2. Report FHLMC FNMA outright transactions in column 1 and FNMA fails to receive in column 3 and FHLMC fails to deliver dollar rolls in columns 2. Report FHLMC outright trans- in column 4. actions in column 3 and FHLMC dollar rolls in column 4.

Settlement Cycle Reprot of Dealer Fails and Transaction Volumes FB-1 FR 2004FB January 2015 FR 2004FB

Item 3a Report cumulative MBS TBA and Pool Item 3g Report cumulative MBS TBA and Pool Transactions in the appropriate columns for Transactions in the appropriate columns for 4.5% coupons lower than 2.0%. coupons.

Item 3b Report cumulative MBS TBA and Pool Item 3h Report cumulative MBS TBA and Pool Transactions in the appropriate columns for 2.0% Transactions in the appropriate columns for 5.0% coupons. coupons.

Item 3c Report cumulative MBS TBA and Pool Item 3i Report cumulative MBS TBA and Pool Transactions in the appropriate columns for 2.5% Transactions in the appropriate columns for 5.5% coupons. coupons.

Item 3d Report cumulative MBS TBA and Pool Item 3j Report cumulative MBS TBA and Pool Transactions in the appropriate columns for 3.0% Transactions in the appropriate columns coupons coupons. greater than 5.5%.

Item 3e Report cumulative MBS TBA and Pool Item 4 Total. Transactions in the appropriate columns for 3.5% coupons. Report the totals of rows 3a-3j.

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

FB-2 Settlement Cycle Reprot of Dealer Fails and Transaction Volumes FR 2004FB January 2015 INSTRUCTIONS FOR THE PREPARATION OF THE Settlement Cycle Report of Dealer Fails and Transaction Volumes Class C FR 2004FC

Accounting Rules Item 1c Report fails to receive and fails to deliver in the appropriate columns for 3.0% coupons. Report settlement fails from Agency and GSE TBA and specified pool transactions, at principal value, excluding Item 1d Report fails to receive and fails to deliver in accrued interest. Principal value is the face value pur- the appropriate columns for 3.5% coupons. chased or sold times the price. Report failed transactions Item 1e Report fails to receive and fails to deliver in and failed financing transactions that occurred on the the appropriate columns for 4.0% coupons. as-of date only. Also include TBA MBS fails when the settlement date is delayed beyond the contractual settle- Item 1f Report fails to receive and fails to deliver in ment date. Do not report security fails on a cumulative the appropriate columns for 4.5% coupons. basis. However, report cumulative TBA and pool trans- Item 1g Report fails to receive and fails to deliver in actions for settlement in the reporting month using the appropriate columns for 5.0% coupons. trade date accounting. Dealers should report all TBA Item 1h Report fails to receive and fails to deliver in and pool transactions for that month’s settlement (not the appropriate columns for 5.5% coupons. just TBA dollar rolls). Do not net purchases and sales. Item 1i Report fails to receive and fails to deliver in The settlement calendar for MBS can be located here: the appropriate columns for 6.0% coupons. http://www.sifma.org/Services/Standard-Forms-and- Documentation/Securitized-Products/Securitized- Item 1j Report fails to receive and fails to deliver in Products_MBS-Notification-and-Settlement-Dates/ the appropriate columns for coupons greater than 6.0%. No Activity Item 2 Total. If a reporting entity does not have any MBS TBA activity, a report must be submitted reflecting zero data. Report the total of rows 1a-1j. Transaction Volumes FR 2004 FC-Class C Settlement Fails Line-by-Line Instructions Report cumulative MBS TBA and Pool Transactions Settlement Fails (Outrights and Dollar Rolls) with external counterparties for Class C settlement in the reporting month for 30-year Report outstanding settlement fails at close of business GNMA for coupons listed below. Do not net buys and on the Class C settlement date for 30-year GNMA sells. Include coupon and/or agency swaps as outright (GNSF or G2SF) coupons listed below. For each item, transactions. For each item, report GNMA outright trans- report GNMA fails to receive in column 1 and GNMA actions in column 1 and GNMA dollar rolls in columns 2. fails to deliver in column 2. Item 3a Report cumulative MBS TBA and Pool Item 1a. Report fails to receive and fails to deliver in Transactions in the appropriate columns for coupons the appropriate columns for coupons lower than lower than 2.5%. 2.5%. Item 3b Report cumulative MBS TBA and Pool Item 1b Report fails to receive and fails to deliver in Transactions in the appropriate columns for 2.5% the appropriate columns for 2.5% coupons. coupons.

Settlement Cycle Report of Dealer Fails and Transaction Volumes FC-1 FR 2004FC January 2015 FR 2004FC

Item 3c Report cumulative MBS TBA and Pool Transactions in the appropriate columns for 5.0% Transactions in the appropriate columns for 3.0% coupons. coupons. Item 3h Report cumulative MBS TBA and Pool Item 3d Report cumulative MBS TBA and Pool Transactions in the appropriate columns for 5.5% Transactions in the appropriate columns for 3.5% coupons. coupons. Item 3i Report cumulative MBS TBA and Pool Item 3e Report cumulative MBS TBA and Pool Transactions in the appropriate columns for 6.0% Transactions in the appropriate columns for 4.0% coupons. coupons. Item 3j Report cumulative MBS TBA and Pool Transactions in the appropriate columns coupons Item 3f Report cumulative MBS TBA and Pool greater than 6.0%. Transactions in the appropriate columns for 4.5%coupons. Item 4 Total. Item 3g Report cumulative MBS TBA and Pool Report the totals of rows 3a-3j.

FC-2 Settlement Cycle Report of Dealer Fails and Transaction Volumes FR 2004FC January 2015 INSTRUCTIONS FOR THE PREPARATION OF THE Settlement Cycle Report of Dealer Fails and Transaction Volumes Class A, B, and C FR 2004FM

Accounting Rules 30 Year MBS Report settlement fails from Agency and GSE TBA and Item 1a. Report fails to receive and fails to deliver specified pool transactions, at principal value, excluding in the appropriate columns for coupons lower than accrued interest. Principal value is the face value pur- 2.5%. chased or sold times the price. Report failed transactions Item 1b Report fails to receive and fails to deliver and failed financing transactions that occurred on the in the appropriate columns for 2.5% coupons. as-of date only. Also include TBA MBS fails when the settlement date is delayed beyond the contractual settle- Item 1c Report fails to receive and fails to deliver ment date. Do not report security fails on a cumulative in the appropriate columns for 3.0% coupons. basis. However, report cumulative TBA and pool trans- Item 1d Report fails to receive and fails to deliver actions for settlement in the reporting month using in the appropriate columns for 3.5% coupons. trade date accounting. Dealers should report all TBA and pool transactions for that month’s settlement (not Item 1e Report fails to receive and fails to deliver just TBA dollar rolls). Do not net purchases and sales. in the appropriate columns for 4.0% coupons. The settlement calendar for MBS can be located here: Item 1f Report fails to receive and fails to deliver http://www.sifma.org/Services/Standard-Forms-and- in the appropriate columns for 4.5% coupons. Documentation/Securitized-Products/Securitized- Item 1g Report fails to receive and fails to deliver Products_MBS-Notification-and-Settlement-Dates/ in the appropriate columns for 5.0% coupons. Item 1h Report fails to receive and fails to deliver No Activity in the appropriate columns for 5.5% coupons. If a reporting entity does not have any MBS TBA Item 1i Report fails to receive and fails to deliver activity, a report must be submitted reflecting zero data. in the appropriate columns for 6.0% coupons. Item 1j Report fails to receive and fails to deliver FR 2004 FM-Class A, B, and C Settlement Fails in the appropriate columns for coupons greater Line-by-Line Instructions than 6.0%. Class A and C Settlement Fails Item 2 Total. Report outstanding settlement fails at close of business on the last business date of the month for 30-year FNMA Report the total of rows 1a-1j. (FNCL), 30-year FHLMC (FGLMC), and 30-year GNMA Transaction Volumes (GNSF or G2SF) for coupons listed below. For each item, report 30-year FNMA fails to receive in column 1 Report cumulative MBS TBA and Pool Transactions and 30-year FNMA fails to deliver in column 2. Report (Outrights and Dollar Rolls) with external counterparties 30-year FHLMC fails to receive in column 3 and 30-year for Class A and Class C settlement in the reporting month FHLMC fails to deliver in column 4. Report 30-year for 30-year FNMA, 30-year FHLMC and 30-year GNMA GNMA fails to receive in column 5 and 30-year GNMA for coupons listed below. Do not net buys and sells. fails to deliver in column 6. Include coupon and/or agency swaps as outright

Settlement Cycle Report of Dealer Fails and Transaction Volumes FM-1 FR 2004FM January 2015 FR 2004FM

transactions. For each item, report FNMA outright trans- below. For each item, report 15-year FNMA fails to actions in column 1 and FNMA dollar rolls in columns 2. receive in column 1 and 15-year FNMA fails to deliver in Report FHLMC outright transactions in column 3 and column 2. Report 15-year FHLMC fails to receive in FHLMC dollar rolls in column 4. Report GNMA outright column 3 and 15-year FHLMC fails to deliver in column transactions in column 5 and GNMA dollar rolls in 4. column 6. Item 15 Year MBS Item 3a Report cumulative MBS TBA and Pool Transactions in the appropriate columns for Item 5a. Report fails to receive and fails to deliver coupons lower than 2.5%. in the appropriate columns for coupons lower than 2.0%. Item 3b Report cumulative MBS TBA and Pool Transactions in the appropriate columns for 2.5% Item 5b Report fails to receive and fails to deliver coupons. in the appropriate columns for 2.0% coupons. Item 3c Report cumulative MBS TBA and Pool Item 5c Report fails to receive and fails to deliver Transactions in the appropriate columns for 3.0% in the appropriate columns for 2.5% coupons. coupons. Item 5d Report fails to receive and fails to deliver Item 3d Report cumulative MBS TBA and Pool in the appropriate columns for 3.0% coupons. Transactions in the appropriate columns for 3.5% coupons. Item 5e Report fails to receive and fails to deliver in the appropriate columns for 3.5% coupons. Item 3e Report cumulative MBS TBA and Pool Transactions in the appropriate columns for 4.0% Item 5f Report fails to receive and fails to deliver coupons. in the appropriate columns for 4.0% coupons. Item 3f Report cumulative MBS TBA and Pool Item 5g Report fails to receive and fails to deliver Transactions in the appropriate columns for 4.5% in the appropriate columns for 4.5% coupons. coupons. Item 5h Report fails to receive and fails to deliver Item 3g Report cumulative MBS TBA and Pool in the appropriate columns for 5.0% coupons. Transactions in the appropriate columns for 5.0% Item 5i Report fails to receive and fails to deliver coupons. in the appropriate columns for 5.5% coupons. Item 3h Report cumulative MBS TBA and Pool Item 5j Report fails to receive and fails to deliver Transactions in the appropriate columns for 5.5% in the appropriate columns for coupons greater coupons. than 5.5%. Item 3i Report cumulative MBS TBA and Pool Transactions in the appropriate columns for 6.0% Item 6 Total. coupons. Report the total of rows 5a-5j. Item 3j Report cumulative MBS TBA and Pool Transactions in the appropriate columns coupons Transaction Volumes greater than 6.0%. Report cumulative MBS TBA and Pool Transactions Item 4 Total. (Outrights and Dollar Rolls) with external counterparties for Class B settlement in the reporting month for 15-year Report the totals of rows 3a-3j. FNMA and 15-year FHLMC for coupons listed below. Do not net buys and sells. Include coupon and/or agency Class B Settlement Fails swaps as outright transactions. For each item, report Report outstanding settlement fails at close of business FNMA outright transactions in column 1 and FNMA on the last business date of the month for 15-year FNMA dollar rolls in columns 2. Report FHLMC outright trans- (FNCI) and 15-year FHLMC (FGCI) for coupons listed actions in column 3 and FHLMC dollar rolls in column 4.

FM-2 Settlement Cycle Report of Dealer Fails and Transaction Volumes FR 2004FM January 2015 FR 2004FM

Item 7a Report cumulative MBS TBA and Pool Item 7g Report cumulative MBS TBA and Pool Transactions in the appropriate columns for Transactions in the appropriate columns for 4.5% coupons lower than 2.0%. coupons.

Item 7b Report cumulative MBS TBA and Pool Item 7h Report cumulative MBS TBA and Pool Transactions in the appropriate columns for 2.0% Transactions in the appropriate columns for 5.0% coupons. coupons.

Item 7c Report cumulative MBS TBA and Pool Item 7i Report cumulative MBS TBA and Pool Transactions in the appropriate columns for 2.5% Transactions in the appropriate columns for 5.5% coupons. coupons.

Item 7d Report cumulative MBS TBA and Pool Item 7j Report cumulative MBS TBA and Pool Transactions in the appropriate columns for 3.0% Transactions in the appropriate columns coupons coupons. greater than 5.5%.

Item 7e Report cumulative MBS TBA and Pool Item 8 Total. Transactions in the appropriate columns for 3.5% coupons. Report the totals of rows 7a-7j.

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

Settlement Cycle Report of Dealer Fails and Transaction Volumes FM-3 FR 2004FM January 2015 Appendix A Comparisons Between and Within Reports There are general comparisons among the FR 2004 reports. However, if your data does not correspond with the comparisons, there may be acceptable explanations for the differences. FR 2004A vs. FR 2004B Changes in positions (between two weeks) reported on the FR 2004A and should be less than the level of transactions reported on the current week FR 2004B. or control of a bank. FR 2004A vs. FR 2004SI and FR 2004WI Positions reported on the FR 2004A should be greater than or equal to the sum of net settled positions reported on the FR 2004SI and FR 2004WI. FR 2004B vs. FR 2004SI and FR 2004WI Transactions reported on the FR 2004B should be greater than or equal to the sum of cumulative outright transactions reported on the FR 2004SI and FR 2004WI. FR 2004C vs. FR 2004SI U.S. Treasury financing and fails data reported on the FR 2004C should be greater than or equal to U.S. Treasury financing and fails data reported on the FR 2004SI. FR 2004SI (comparisons of column 4, columns 5 through 12, and columns 13 and 14) The net settled position reported in column 4 should be equal to the net financing and fails data reported in columns 5 through 14. The difference between uses of financing (columns 5 through 8) and sources of financing (columns 9 through 12) should be equal to the difference between the net settled position (column 4) and net fails data (columns 13 and 14). FR 2004SD (comparisons of column 4, columns 5 through 12, and columns 13 and 14) The net settled position reported in column 4 should be equal to the net financing and fails data reported in columns 5 through 14. The difference between uses of financing (columns 5 through 8) and sources of financing (columns 9 through 12) should be equal to the difference between the net settled position (column 4) and net fails data (columns 13 and 14). FR 2004SD vs. FR 2004SI When the same security is reported on the FR 2004SD and the FR 2004SI, the position, financing, and fails data submitted as-of Wednesday for the FR 2004SD should match the position, financing, and fails data submitted for that same Wednesday on the FR 2004SI for that specific security. When the same security is reported on the FR 2004SD and the FR 2004SI, the transaction data submitted as-of Wednesday for the FR 2004SD should be less than or equal to the transaction data submitted for that same Wednesday on the FR 2004SI for that specific security. FR 2004WI (comparison of column 2 and columns 4 and 5) Net outright positions should reconcile between daily report dates. Current net outright positions should equal the prior day’s net outright position plus the current day’s net outright transactions. On the auction date, the current net outright position should equal the prior day’s net outright position plus the current day’s net outright transactions plus the allotment received from the U.S. Treasury auction. FR 2004SI vs. FR 2004WI When the same security is reported on the FR 2004SI as-of Wednesday and the FR 2004WI for the full report week (Thursday to Wednesday), the sum of the FR 2004WI transaction data for the full report week should be greater than or equal to the FR 2004SI transaction data for the as-of Wednesday.

FR 2004 App-A-1 Appendix A January 2015 Appendix B Reporting Differences Between and Within the FR 2004 Reports

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

FR 2004 App-B-1 Appendix B January 2015 Appendix C GLOSSARY

Affiliate - Company under the control of the direct parent of the primary dealer. Aged fail - A failure to receive or to deliver a security that has been outstanding for five business days or more. Allotment - The amount of a security issue that subscribers are assigned based on their bids for those securities. Call date - A date before maturity, specified at issuance, when the issuer may retire part of the security for a specified price. Coupon passes - Transactions initiated by the FRBNY with primary dealers involving U.S. Treasury securities that add or withdraw reserves. Derivative - Financial instrument whose value depends on, or is derived from, the prices, or level of indexes or underlying assets, such as interest rates, foreign exchange rates, equities, or commodities. They represent an agreement between two or more counterparties on the price or level of the asset or index for exchange or settlement at a later specified date.

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

Fail - On the settlement date, either the seller does not deliver the security as agreed or the buyer does not deliver funds (and therefore does not receive the security) as agreed.

Federal agency - An agency or corporation that has been chartered, authorized, or organized as a result of federal legislation.

Forward contract - A contract in which two parties agree to the purchase and sale of an asset at some future date. Forward contracts are not standardized and are not traded on organized exchanges.

Government sponsored enterprise (GSE) - Privately owned, publicly chartered entities created by Congress to reduce the cost of capital for certain borrowers, including farmers, homeowners, and students.

Reverse repurchase agreement (resale agreement) - A transaction involving the purchase of financial assets by one party from another, subject to an agreement by the purchaser to resell the assets at a specified date or in specified circumstances.

Reverse Inquiry - A transaction where an investor or dealer determines the amount and type of bonds they wish to buy and approach the issuer to buy debt securities with particular features at a particular price. If the issuer agrees, the bonds are issued the same day. Reverse inquiries are very common in the agency debt market.

Settlement date - The contractually agreed upon date on which a security is to be delivered to the purchaser and payment is to be made to the seller.

Subsidiary - An entity in which the primary dealer, directly or indirectly, owns more than 50 percent of the outstanding voting stock.

FR 2004 GL-1 Glossary January 2015