FR2004_20171206_omb

Supporting Statement for the
Government Securities Dealers Reports
(FR 2004; OMB No. 7100-0003)
Summary
The Board of Governors of the Federal Reserve System (Board), under delegated
authority from the Office of Management and Budget (OMB), proposes to extend for three years,
without revision, the Government Securities Dealers Reports (FR 2004; OMB No. 7100-0003).
This family of reports is comprised of 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)
 Supplement to the Daily Report of Specific Issues (FR 2004SD ad hoc)1
 Daily Report of Dealer Activity in Treasury Financing (FR 2004WI)
 Settlement Cycle Report of Dealer Fails and Transaction Volumes: Class A (FR 2004FA)
 Settlement Cycle Report of Dealer Fails and Transaction Volumes: Class B (FR 2004FB)
 Settlement Cycle Report of Dealer Fails and Transaction Volumes: Class C (FR 2004FC)
 Settlement Cycle Report of Dealer Fails and Transaction Volumes (FR 2004FM)
The Federal Reserve Bank of New York (FRBNY), on behalf of the Federal Reserve
System, collects data from primary dealers in the U.S. government securities market. Filing of
these data is required to obtain the benefit of primary dealer status. The Federal Reserve uses
these data to (1) monitor the condition of the U.S. government securities market in its Treasury
market surveillance and analysis of the market and to (2) assist and support the U.S. Department
of the Treasury (Treasury) in its role as fiscal agent for Treasury financing operations. In
addition, these data are helpful in the analysis of broad financial conditions and a range of
financial stability issues. The annual reporting burden for the FR 2004 is estimated to be 21,735
hours.
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
Certain criteria apply to information collections conducted via the Board’s ad hoc clearance process. Such
information collections shall (1) be vetted by the Board’s clearance officer as well as the Division director
responsible for the information collection, (2) display the OMB control number and respondents shall be informed
that the information collection has been approved, (3) be used only in such cases where response is voluntary, (4)
not be used to substantially inform regulatory actions or policy decisions, (5) be conducted only and exactly as
described in the OMB submission, (6) involve only noncontroversial subject matter that will not raise concerns for
other Federal agencies, (7) include information collection instruments that are each conducted only one time, (8)
include a detailed justification of the effective and efficient statistical survey methodology (if applicable), and (9)
collect personally identifiable information (PII) only to the extent necessary (if collecting PII, the form must display
current privacy act notice). In addition, for each information collection instrument, respondent burden will be
tracked and submitted to the OMB.
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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. During the 1970s, market practices changed in a
number of important ways as U.S. government securities dealers became involved in the trading
and positioning of futures and options and also substantially broadened their participation in the
repurchase agreement market. In response to these developments, in 1979 the Joint TreasuryFederal Reserve Steering Committee (Joint 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 Treasury market surveillance of
the U.S. government securities market. Also announced in the report was the elimination of the
FRBNY’s dealer Treasury market 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.
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

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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.
In January 2010, the FR 2004SD was revised to collect up to 10 ad hoc data items from all
respondents to collect critical information in a short period of time from primary dealers.
Effective March 31, 2013, the FR 2004 reporting forms were revised to collect additional
data on positions, transactions, and securities settlement fails for Treasury, mortgage-backed
securities (MBS), and corporate securities. In addition, the Federal Reserve expanded the data
on securities financing to include expanded collateral asset classes and contract terms. To
increase the coverage of U.S. fixed income markets more broadly, the Federal Reserve increased
the scope of asset classes to include data on state and municipal debt and asset-backed securities
while consolidating the reporting of agency and government sponsored enterprise (GSE)
debentures. The Federal Reserve also expanded the publication of the aggregate data to include
specific-issue Treasury data from the FR 2004SI, on the current 8-day lag schedule.
Effective January 7, 2015, the FR 2004 reporting forms were revised to (1) collect data
on gross positions for floating rate Treasury securities; (2) expand data collected on gross
positions in investment grade corporate securities, below investment grade corporate securities,
and state and municipal government obligations; (3) collect data on asset-backed securities in the
securities financing section; and (4) add four new reporting forms to collect detailed data on
settlement fails and transaction volumes.
The FRBNY is the collector and user of the dealer data because of its responsibility for
conducting the Federal Reserve’s open market operations, its Treasury market surveillance
responsibility, and its advisory responsibilities to the Treasury. The FRBNY uses these data in
gauging market conditions and dealer positions while the Treasury uses these data in managing
its marketable debt. Board staff 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)2 uses the data from the FR 2004SI, SD and WI for Treasury 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
2

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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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 2004SD ad hoc collects up to 10 ad hoc
data items during instances when critical information for additional Treasury market surveillance
is required. 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 FR 2004FA reports Class A
Agency and GSE To Be Announced (TBA) and specified pool fails to receive, fails to deliver,
outright transactions, and dollar roll transactions that occurred on the Class A settlement as-of
date only. The FR 2004FB reports Class B Agency and GSE TBA and specified pool fails to
receive, fails to deliver, outright transactions, and dollar roll transactions that occurred on the
Class B settlement as-of date only. The FR 2004FC reports Class C Agency and GSE TBA and
specified pool fails to receive, fails to deliver, outright transactions, and dollar roll transactions
that occurred on the Class C settlement as-of date only. The FR 2004FM reports Agency and
GSE TBA and specified pool fails to receive and fails to deliver for Class A, B, and C securities
that are outstanding at close of business on the last business date of the month. The FR 2004FM
also reports Agency and GSE TBA and specified pool cumulative outright transactions and
cumulative dollar roll transactions for Class A, B, and C securities that occurred in the reporting
month.
The frequency associated with each report allows the Federal Reserve 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. It also aids the Federal Reserve and the general public in
assessing developments in other fixed income markets, including the interplay between different
asset classes.
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 23
primary dealers.
Time Schedule for Information Collection
All respondents submit their data electronically 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 week. The FR 2004SD ad hoc
collects daily ad hoc information reported the next week. 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

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day prior.3 The FR 2004FA, FB, FC, and FM would be collected once per month, one for each
class settlement date and one for the last business day of the month and these data are due to the
FRBNY the next business day.
Summary data from FR 2004A, B, C, and SI are published each Thursday and from
FR 2004FA, FB, FC, and FM are published monthly in a FRBNY statistical release. These can
be obtained from www.newyorkfed.org/markets/primarydealers.html. The data are published
with at least an eight-day 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. Data from the
FR 2004SD, SD ad hoc, and WI are not available to the public. They are collected for Treasury
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(c), 14, and 15 of the Federal Reserve Act (12 U.S.C. 225a, 263c, 353-359, and 391) and
is required to obtain or retain benefit of dealer status. 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
On July 6, 2017, the Board published an initial notice in the Federal Register
(82 FR 31327) requesting public comment for 60 days on the extension, without revision, of the
FR 2004. The comment period for this notice expired on September 5, 2017. The Board did not
receive any comments. On October 24, 2017, the Board published a final notice in the Federal
Register (82 FR 49207) and the information collection will be extended as proposed.
Estimate of Respondent Burden
The current annual burden for the FR 2004 is estimated to be 21,735 hours. These
reporting requirements for the FR 2004 represents less than 1 percent of the total Federal
Reserve System paperwork burden.

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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FR 2004

FR 2004A
FR 2004B
FR 2004C
FR 2004SI
FR 2004SD
FR 2004SD ad hoc
FR 2004WI
FR 2004FA
FR 2004FB
FR 2004FC
FR 2004FM

Number of
respondents4

Annual
frequency

Estimated
average hours
per response

23
23
23
23
23
23
23
23
23
23
23

52
52
52
52
25
26
160
12
12
12
12

3.0
3.7
3.1
2.2
2.2
2.0
1.0
1.0
1.0
1.0
1.5

Total

Estimated
annual burden
hours
3,588
4,425
3,708
2,631
1,265
1,196
3,680
276
276
276
414
21,735

The total cost to the public is estimated to be $1,193,252 for the FR 2004.5
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 FRBNY. The
current cost to the FRBNY for collecting and processing the FR 2004 is estimated to be
$700,000 per year.

4

Of these respondents, none are small entities as defined by the Small Business Administration (i.e., entities with
less than $38.5 million in average annual receipts) www.sba.gov/contracting/getting-started-contractor/make-sureyou-meet-sba-size-standards/table-small-business-size-standards.
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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 rates (30% Office & Administrative Support at $18, 45% Financial Managers at
$67, 15% Lawyers at $67, and 10% Chief Executives at $93). Hourly rates for each occupational group are the
(rounded) mean hourly wages from the Bureau of Labor and Statistics (BLS), Occupational Employment and Wages
May 2016, published March 31, 2017, www.bls.gov/news.release/ocwage.t01.htm. Occupations are defined using
the BLS Occupational Classification System, www.bls.gov/soc/.

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