FR2004_20100120_omb

Supporting Statement for the Government Securities Dealers Reports
(FR 2004 A, B, C, SI, SD, and WI; OMB No. 7100-0003)
Summary
The Board of Governors of the Federal Reserve System, under delegated authority from the
Office of Management and Budget (OMB), propose to extend for three years, with revision, the
government securities dealers reports (OMB No. 7100-0003). This family of reports comprises the:
 Weekly Report of Dealer Positions (FR 2004A),
 Weekly Report of Cumulative Dealer Transactions (FR 2004B),
 Weekly Report of Dealer Financing and Fails (FR 2004C),
 Weekly Report of Specific Issues (FR 2004SI),
 Daily Report of Specific Issues (FR 2004SD), and
 Daily Report of Dealer Activity in Treasury Financing (FR 2004WI).
The Federal Reserve Bank of New York (FRBNY), on behalf of the Federal Reserve, collects
data from primary dealers in the U.S. government securities market. Filing of the data is required to
obtain the benefit of primary dealer status. The Federal Reserve uses these data to monitor the
condition of the U.S. government securities market in its surveillance and analysis of the market and
to assist the U.S. Department of the Treasury (Treasury).
The Federal Reserve proposes to revise the FR 2004SD reporting form to collect ad hoc
information and make several clarifications to the FR 2004 instructions. The current annual
reporting burden for the FR 2004 is estimated to be 10,098 hours and would increase by 936 hours
based on the proposed revisions. A copy of the draft instructions is attached.
Background and Justification
In the early 1960s, the Federal Reserve began collecting data on positions, transactions, and
financing activity from U.S. securities dealers, primarily those with whom it traded. The main
purposes of these data were to (1) give the Federal Open Market Committee information on the
condition of the U.S. Treasury securities market and (2) permit an appraisal of the position risk of
reporting dealers, the soundness of their trading practices, and the adequacy of their market making
in all segments of the market. Market practices changed in a number of important ways during the
1970s as U.S. government securities dealers became involved in the trading and positioning of
futures and options and also broadened substantially their participation in the repurchase agreement
market. In response to these developments, in 1979 the Joint Treasury-Federal Reserve Steering
Committee asked staff members from the Treasury, the FRBNY, and the Board of Governors to
modify and expand the reporting forms. In early 1980, after consultations with individual dealers
and the Bond Market Association, the Joint Steering Committee approved substantial changes to the
reports.
In 1990, substantial changes were made to meet the Treasury’s capital adequacy rules that
were adopted in 1987 and the Government Securities Act of 1986, both of which required
continuous capital adequacy compliance. In addition, overall coverage of the reports was improved

and these data were more closely aligned to information collected by the Securities and Exchange
Commission (SEC) and the Treasury. At the same time, reporting burden was reduced considerably.
In January 1992, the Federal Reserve, the Treasury, and the SEC submitted to the Congress
the Joint Report on the Government Securities Market. As part of the joint agency report, the
FRBNY assumed primary responsibility for the daily surveillance of the U.S. government securities
market. Also announced in the report was the elimination of the FRBNY’s dealer surveillance
activities and, consequently, so were certain reporting requirements. At the next scheduled review
in 1994, several data items on the FR 2004A, B, and C reporting forms were either combined or
eliminated and the FR 2004SI was introduced to collect some of the information formerly collected
on the addendum sections of the FR 2004A and B. In addition, the FR 2004WI reporting form was
revised.
The 1997 review yielded additions to the FR 2004A and FR 2004B to collect Treasury
inflation-indexed securities and additional information on federal agency and government sponsored
enterprise (GSE) securities. Matched-book financings were eliminated from the FR 2004C.
Substantial changes were made to the reporting forms in 2001. Generally, the changes
captured information on a broader range of primary dealers’ activities in fixed income markets and
also eliminated data items that were no longer seen as useful. In the late 1990s, the government
securities market underwent notable changes in the face of large budget surpluses. As the supply of
Treasury securities declined and trading activity in the market diminished somewhat, primary
dealers began to take relatively greater positions in private securities and to generally assume a
larger role as “market makers” in corporate debt markets. The addition of data items to collect
information on primary dealers’ positions in corporate securities allowed better monitoring of these
developments. The revisions also included a change in maturity classifications that provided more
detail and was more closely aligned with the classification schedule employed by primary dealers in
managing their operations. Data items for futures and options were deleted and the financing data
items were collapsed into the broad categories of Securities In and Securities Out. Lastly,
memoranda items were added to obtain more detail on repurchase agreements and to track their
cumulative volume and average rates.
Effective with the January 7, 2004, report date, the FR 2004 reporting forms were revised to
delete the columns for cumulative weekly volume and average weekly rates for repurchase
agreements on the FR 2004C, formalize the collection of the FR 2004SI daily data in the
FR 2004SD, add a new data item to collect the security ID on the FR 2004SI and the flexibility to
modify the reporting form and instructions at any time if the Treasury issues a security with a new
maturity class, and align column headings on the FR 2004B, SI, and WI reporting forms. In
addition, the time schedule for submitting the reporting forms was made uniform and all data
submitted on the FR 2004C were made available to the public on an aggregate basis. In January
2007, the reporting forms were revised to add an attestation requirement, replace the financing
counterparty breakdown with the transaction type on the FR 2004SI, and clarify the instructions.
The FRBNY is the collector and principal user of the dealer data because of its responsibility
for conducting the Federal Reserve’s open market operations, its market surveillance responsibility,
and its advisory responsibilities to the Treasury. The FRBNY uses these data in gauging market

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conditions and dealer positions while the Treasury uses these data in managing its marketable debt.
The Federal Reserve also uses these data in conjunction with its ongoing responsibility to monitor
and analyze developments in the government securities markets. Such data can be useful for
identifying changing market practices. The aggregate dealer data (for the FR 2004A, B, and C) can
be obtained by the Treasury, since the reporting dealers play a central role in underwriting and
distributing the Treasury’s debt. The Interagency Working Group (IAWG)1 uses the data from the
FR 2004SI, SD and WI for market surveillance.
Description of Information Collection
The FR 2004A collects weekly data on dealers’ outright positions in Treasury and other
marketable debt securities. The FR 2004B collects cumulative weekly data on the volume of
transactions made by dealers in the same instruments for which positions are reported on the
FR 2004A. The FR 2004C collects weekly data on the amounts of dealer financing and fails. The
FR 2004SI collects weekly data on position, transaction, financing, and fails for the most recently
issued on-the-run Treasury securities (the most recently issued Treasury securities for each maturity
class). When unusual trading practices occur for a specific security, this information can be
collected on a daily basis on the FR 2004SD for either on-the-run Treasury securities or off-the-run
Treasury securities. The FR 2004WI collects daily data on positions in to-be-issued Treasury
coupon securities, mainly the trading on a when-issued delivery basis.
The frequency associated with each report allows the FRBNY Markets Group to (1) monitor
certain technical developments in the U.S. government securities market for its own purposes, in
relation to open market operations, and in its role in the IAWG and (2) fulfill its responsibilities as
fiscal agent for the Treasury.
The panel consists of all primary government security dealers. Any dealer that would like to
become a primary dealer would be required to submit these data. Currently there are 18 primary
dealers.
Proposed Revisions
On occasion, there may be a need to collect critical information within a short timeframe for
a short period of time from primary dealers. This authority would have proven extremely useful
during recent market events. Based on this experience the Federal Reserve proposes authorizing the
collection of up to 10 ad hoc data items from all respondents that generally would pertain to specific
securities, asset classes, or financing transactions. The request for additional data would be based on
recommendations from Federal Reserve staff. The dealers would be notified in advance and any
data requested or required would be readily available. These data could be reported as frequently as
daily until dealers were notified to discontinue reporting. Written qualitative questions might
include categorical questions, yes-no questions, ordinal questions, and open-ended questions.
Written quantitative questions would include dollar amounts, percentages, numbers of items, interest
rates, and other such information. These data would not be available from any other source.
1

This group consists of staff from the FRBNY, the Federal Reserve Board, the Treasury, the SEC, and the Commodity
Futures Trading Commission.

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The Federal Reserve also proposes to clarify instructions to (1) explicitly cover new product
types that have been actively traded or held since the last reports review (e.g., covered bonds,
Federal Deposit Insurance Corporation (FDIC) debt guarantees), (2) address the reporting of security
underwriting done with issuers through reverse inquiry, (3) add a section for prime brokerage
reporting, and (4) incorporate several editorial changes.
Time Schedule for Information Collection
Since 1996, the submission of data has been automated, which has allowed dealer firms to
integrate the production of data into their own internal systems. All respondents submit their data
electronically through the Internet Electronic Submission (IESUB) system to the FRBNY.
The FR 2004A, B, C, and SI are submitted weekly. The FR 2004A and SI collect positions
data as of Wednesday, and these data are reported the next business day. Under certain
circumstances the FR 2004SD collects positions daily, and these data are reported the next business
day. The FR 2004B collects cumulative transactions for the calendar week ended Wednesday, and
these data are reported the next business day. The FR 2004C collects outstanding financing
arrangements and fails as of Wednesday, and these data are reported the next business day. The
FR 2004WI collects closing positions, transactions, and net forward financing commitments of the
previous business day during each day of the when-issue period with the last report due on issue date
for the business day prior.2
Summary data from FR 2004A, B, and C are published each Thursday in a FRBNY
statistical release. These can be obtained from www.newyorkfed.org/markets/primarydealers.html.
The data are published with a one-week lag. The FRBNY also publishes summary statistics on
concentrations of market share from the FR 2004B data on a quarterly basis with a two-week lag.
Summary data from the FR 2004A, B, and C also are published in the Federal Reserve Bulletin in
tables 1.42, U.S. Government Securities Dealers, Transactions, and 1.43, U.S. Government
Securities Dealers, Positions and Financing, with about a two-month lag. In addition, the Fails to
Receive and Fails to Deliver data that are collected on the FR 2004C are published by asset type
with a one-week lag.
Data from the FR 2004SI, SD, and WI are not available to the public. They are collected for
market surveillance purposes exclusively and are considered strictly confidential. However, all
individual respondent data are available to the IAWG.
Legal Status
The Board’s Legal Division has determined that the FR 2004 is authorized by sections 2A,
12A, and 14 of the Federal Reserve Act [12 U.S.C. §§ 225a, 263, and 353-359] and is required to

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The “when-issued period” for a security extends from the time the security is announced to the time it is issued.
FR 2004WI data are collected from the date of Treasury’s announcement through the business day before the issue date.
Treasury supplies a schedule of issues to be announced.

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obtain or retain benefits. Individual respondent data are regarded as confidential under the Freedom
of Information Act [5 U.S.C. §§ 552(b)(4) and (b)(8)].
Consultation Outside the Agency and Discussion of Public Comments
Discussions about the possibility of these revisions were held with the primary dealers and in
several cases their suggestions were incorporated into this proposal. On November 2, 2009, the
Federal Reserve published a notice in the Federal Register (74 FR 56633) requesting public
comment for 60 days on the extension, with revision, of the FR 2004. The comment period for this
notice expired on January 4, 2010. The Federal Reserve did not receive any comments on the
extension, with revision. On January 19, 2010, the Federal Reserve published a final notice in the
Federal Register (75 FR 2863) for the FR 2004.
Estimate of Respondent Burden
The current annual burden for the FR 2004 is estimated to be 10,098 hours. The Federal
Reserve believes that the new ad hoc data items for the FR 2004SD would be readily available to the
respondents and estimates the average response time to be 2 hours. Based on the proposed revisions,
the total annual burden would increase by 936 hours to 11,034 hours. The FR 2004 data are
prepared and submitted in an automated format, which continues to help ease the burden on
respondents. The estimated annual burden for the FR 2004 represents less than 1 percent of total
Federal Reserve System burden.

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Number of
respondents

Annual
frequency

Estimated
average hours
per response

Estimated
annual burden
hours

Current
FR 2004A
FR 2004B
FR 2004C
FR 2004SI
FR 2004SD
FR 2004WI
Total

18
18
18
18
18
18

52
52
52
52
25
160

1.5
2.0
1.25
2.0
2.0
1.0

1,404
1,872
1,170
1,872
900
2,880
10,098

Proposed
FR 2004A
FR 2004B
FR 2004C
FR 2004SI
FR 2004SD
FR 2004SD ad hoc
FR 2004WI
Total

18
18
18
18
18
18
18

52
52
52
52
25
26
160

1.5
2.0
1.25
2.0
2.0
2.0
1.0

1,404
1,872
1,170
1,872
900
936
2,880
11,034

Change

936

The total cost to the public is estimated to increase from the current level of $622,542 to $680,246
for the revised FR 2004.3
Sensitive Questions
This collection of information contains no questions of a sensitive nature, as defined by
OMB guidelines.
Estimate of Cost to the Federal Reserve System
The cost of collecting and processing these data falls entirely on the Statistics Function of the
FRBNY. The FRBNY Statistics Function’s current cost associated with the FR 2004 is estimated to
be $700,000 per year.
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Total cost to the public was estimated using the following formula. Percent of staff time, multiplied by annual burden
hours, multiplied by hourly rate: 30% Administrative or Junior Analyst @ $25, 45% Managerial or Technical @ $55,
15% Senior Management @ $100, and 10% Legal Counsel @ $144. Hourly rate estimates for each occupational group
are averages using data from the Bureau of Labor and Statistics (BLS), Occupational Employment and Wages 2007,
www.bls.gov/news.release/ocwage.nr0.htm. Occupations are defined using the BLS Occupational Classification System,
www.bls.gov/soc/.

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