FR2004_20210614_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 authority
delegated from the Office of Management and Budget (OMB), has extended for three years, with
revision, the Government Securities Dealers Reports (FR 2004; OMB No. 7100-0003). This
information collection 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), and
• 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 (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 used in the analysis of broad financial conditions and a range of financial stability
issues.
The Board revised the FR 2004 with four additions and two modifications by:
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, (3) inform respondents that the
information collection has been approved, (4) be used only in such cases where response is voluntary, (5) not be
used to substantially inform regulatory actions or policy decisions, (6) be conducted only and exactly as described in
the OMB submission, (7) involve only noncontroversial subject matter that will not raise concerns for other Federal
agencies, (8) include information collection instruments that are each conducted only one time, (9) include a detailed
justification of the effective and efficient statistical survey methodology (if applicable), and (10) 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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(1) adding a row to the FR 2004A, B, SI, SD, and WI to account for the new 20 year
Treasury bond,
(2) adding a row to the FR 2004A and two rows to FR 2004B to separately capture
Mortgage-Backed Securities (MBS) To-Be-Announced (TBA) and specified pool
classifications,
(3) adding 18 columns to the FR 2004C to capture a split by clearing venue, with maturity
tenor applied to each venue classification,
(4) adding 5 lines to the FR 2004C to separately capture Federal Agency and GovernmentSponsored Enterprise (GSE) Residential MBS and Federal Agency and GSE Commercial
MBS, and to separate Total lines for Repo and Other Financing Activities,
(5) revising the FR 2004FA, FB, and FM to capture Federal National Mortgage Association
(FNMA) and Federal Home Loan Mortgage Corporation (FHLMC) Uniform MBS
(UMBS) and FNMA non-UMBS eligible securities settlement fails and transactions,
separate from FHLMC non-UMBS eligible securities settlement fails and transactions,
and
(6) modifying the instructions to provide additional guidance on report consolidation rules
for primary dealers when the legal entity serving as a primary dealer is a branch or
agency of a foreign banking organization (FBO) as well as some other minor corrections
and edits for improved clarity.
The revisions will be effective with the first applicable as of date, January 5, 2022.
The current estimated total annual burden for the FR 2004 is 23,473 hours, and would
increase to 24,721 hours. The revisions would result in an increase of 1,248 hours. The draft
forms and instructions are available on the Board’s public website at
https://www.federalreserve.gov/apps/reportforms/review.aspx.
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. 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 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 the reporting forms 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

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the reports was improved and these data were more closely aligned to information collected by
the U.S. 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 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.
The FRBNY is the collector and user of the dealer data because of its resp onsibility 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. The Board 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, C, SI, FA, FB, FC, and FM) 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 2004 consists of the following 11 individual report forms:

2

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

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1. The FR 2004A collects weekly data on dealers’ outright positions in Treasury and other
marketable debt securities.
2. 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.
3. The FR 2004C collects weekly data on the amounts of dealer financing and fails.
4. 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).
5. 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.
6. 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.
7. The FR 2004WI collects daily data on positions in to-be-issued Treasury coupon
securities, mainly the trading on a when-issued delivery basis.
8. The FR 2004FA reports Class A Agency and GSE 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.
9. 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.
10. 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
11. 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.
Frequency
The frequency associated with each report (described in the Time Schedule for
Information Collection section) 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.
Respondent Panel
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 24
primary dealers.

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Revisions to the FR 2004

1.

2.

3.

4.

5.

6.

7.

8.

9.

The Board revised several of the reporting forms, as follows:
FR 2004A – Add two rows to collect data on gross positions for Treasury coupon bonds
due in more than 11 years but less than or equal to 21 years and Treasury coupon bonds
due in more than 21 years, beginning with the January 5, 2022, as of date. Also, delete an
existing row to collect data on gross positions for Treasury coupons bonds “due in more
than 11 years.” Additionally, add a row to collect Federal Agency and GSE Residential
Pass-through MBS TBAs separately from Specified pools.
FR 2004B – Mirroring the changes on the FR 2004A, add two rows to collect data on
outright transactions of Treasury coupon bonds due in more than 11 years but less than or
equal to 21 years and Treasury coupon bonds due in more than 21 years, and delete an
existing row for Treasury coupon securities due in more than 11 years, beginning with
the January 5, 2022, as of date. Additionally, add two rows to separately collect Federal
Agency and GSE Residential Pass-through MBS TBAs transactions from Specified Pool
transactions, with each further broken down into the existing cash/dollar roll splits.
FR 2004C – For each asset category, add a split by clearing/settlement venue: Uncleared
Bilateral – Specified and General; Cleared Bilateral – Specified, General, and Sponsored;
GCF; and Triparty (excluding GCF). Add eighteen columns for current tenor breakdown
to be applied to each column. Add five rows to capture securities financing activity for
Federal Agency and GSE Residential MBS separately from Federal Agency and GSE
Commercial MBS and to separate “Total Repo” from “Total Other Financing Activity.”
FR 2004SI – Add an additional row to separately collect transactions, net positions,
financing arrangements, and settlement fails for the 20 year Treasury bond , beginning
with the January 5, 2022, as of date.
FR 2004SD – Add an additional row to separately collect transactions, net positions,
financing arrangements, and settlement fails for the 20 year Treasury bond , beginning
with the January 5, 2022, as of date.
FR 2004WI – Add a row to separately collect data on net positions, forward financing
commitments, and outright transactions for new or re-opened 20 year Treasury bonds
trading in the when-issued market, beginning with the January 5, 2022, as of date.
FR 2004FA – The FHLMC and FNMA implemented the Single Security Initiative in
June 2019. This action created a new uniform mortgage-backed security (UMBS) to be
issued and guaranteed by either FNMA or FHLMC, to be backed by fixed-rate 30-, 20-,
15-, or 10-year single-family mortgage loans. To reflect this structural market change,
modify the column headings for columns 1 and 2 for all sections of the report form from
“FNMA” to “FNMA/FHLMC UMBS,” beginning with the January 2022 as of date.
Modify the column headings for columns 3 and 4 for all sections of the report form from
“FHLMC” to “FHLMC (non-UMBS),” beginning with the January 2022 as of date.
FR 2004FB – Mirroring the changes on the FR 2004FA, modify the column headings for
columns 1 and 2 for all sections of the report form from “FNMA” to “FNMA/FHLMC
UMBS,” effective with the January 2022 as of date. Modify the column headings for
columns 3 and 4 for all sections of the report form from “FHLMC” to “FHLMC (non UMBS),” beginning with the January 2022 as of date.
FR 2004FM - Modify the column headings for columns 1 and 2 for all sections of the
report form from “FNMA” to “FNMA/FHLMC UMBS,” beginning with the January 31,

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2022, as of date. Modify the column headings for columns 3 and 4 for all sections of the
report form from “FHLMC” to “FHLMC (non-UMBS),” beginning with the January 31,
2022, as of date.
10. Revise the instructions to provide additional guidance on report consolidation rules for
primary dealers when the legal entity serving as a primary dealer is a branch or agency of
an FBO.
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, and these data 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-issued period, with the last report due on issue date for the business
day prior.3 The FR 2004FA, FB, FC, and FM are collected once per month, one for each class
settlement date and one for the last business day of the month, and are due to the FRBNY the
next business day.
Public Availability of Data
Summary data from FR 2004A, B, C, and SI are published each Thursday and summary
data from FR 2004FA, FB, FC, and FM are published monthly in an FRBNY statistical release.
These summaries can be obtained from https://www.newyorkfed.org/markets/primarydealers.
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 information collected on the FR 2004 series of reports is generally authorized under
sections 2A, 12A(c), 14, and 15 of the Federal Reserve Act. Section 2A requires that the Board
and the Federal Open Market Committee “maintain long run growth of the monetary and credit
aggregates commensurate with the economy’s long run potential to increase production, so as to
promote effectively the goals of maximum employment, stable prices, and moderate long-term
interest rates” (12 U.S.C. § 225a). Section 12A(c) further provides that the time, character, and
volume of open market operations “shall be governed with a view to accommodating commerce
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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and business and with regard to their bearing upon the general credit situation of the country”
(12 U.S.C. § 263(c)). Additionally, section 14 authorizes the Federal Reserve Banks to engage in
open market operations (12 U.S.C. §§ 353-359). Finally, section 15 permits the Federal Reserve
Banks, at the direction of the Secretary of the Treasury, to act as fiscal agents of the United
States (12 U.S.C. § 391). The Board has implicit authority to collect data to carry out the
requirements of the foregoing statutory provisions. 4 Filing the FR 2004 series is a condition of
obtaining and retaining primary dealer status. Thus, the obligation to respond is “required to
obtain or retain a benefit” because being a primary dealer allows a firm to act as a trading
counterparty of the FRBNY in the implementation of its monetary policy. 5
While aggregate data from certain of the forms in the FR 2004 series will be published,
individually identifying information can be kept confidential under exemption 4 and, in certain
circumstances, exemption 8 of the Freedom of Information Act (FOIA) (5 U.S.C. §§ 552(b)(4)
and (b)(8)). Individual respondent data collected through the FR 2004 are considered
confidential because these responses contain nonpublic commercial or financial information,
which is both customarily and actually treated as private by the respondent, pursuant to
exemption 4 of FOIA. Moreover, to the extent that the information is “contained in or related to
examination, operating, or condition reports prepared by, on behalf of, or for the use of [the
Board],” the information may be withheld by the Board under exemption 8.
Consultation Outside the Agency
There has been no consultation outside the Federal Reserve System.
Public Comments
On December 14, 2020, the Board published an initial notice in the Federal Register
(85 FR 80786) requesting public comment for 60 days on the extension, with revision, of the
FR 2004. The comment period for this notice expired on February 12, 2021. The Board received
2 comment letters from industry trade associations related to the changes to the FR 2004 reports.
Both commenters requested that the effective date of the changes be extended, with one
commenter requesting a phased approach beginning in the fourth quarter 2021 and the other
commenter recommending a January 2022 effective date. The Board agreed and clarified that the
changes will become effective with the first applicable as of date, January 5, 2022. One
commenter recommended that the FR 2004 report instructions and FAQs be updated to reflect
the proposed changes. The revised report forms, instructions, and FAQ document will be made
available in final form on the Board’s public website. Aside from the changes discussed above,
the Board will adopt the extension, with revision, of the FR 2004 as originally proposed. On
May 5, 2021, the Board published a final notice in the Federal Register (86 FR 23966).

4

Additionally, depending upon the survey respondent, a more precise statute may authorize the data collection. For
example, the Board is authorized to collect information from bank holding companies (and their subsidiaries) under
section 5(c) of the Bank Holding Company Act of 1956 (12 U.S.C. § 1844(c)) and from depository institutions
under section 11(a) of the Federal Reserve Act (12 U.S.C. § 248(a)).
5
See 5 CFR 1320.8(b)(3)(iv).

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Estimate of Respondent Burden
As shown in the table below, the estimated total annual burden for the FR 2004 is 23,473
hours, and would increase to 24,721 hours with the revisions. The estimated average hours per
response for the FR 2004C would increase from 3.1 hours to 4.1 hours. These reporting
requirements represent less than 1 percent of the Board’s total paperwork burden.
Estimated
number of
respondents6

Annual
frequency

Estimated
average hours
per response

Estimated
annual burden
hours

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

24
24
24
24
24
24
24
24
24
24
24

52
52
52
52
40
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

3,744
4,618
3,869
2,746
2,112
1,248
3,840
288
288
288
432
23,473

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

24
24
24
24
24
24
24
24
24
24
24

52
52
52
52
40
26
160
12
12
12
12

3.0
3.7
4.1
2.2
2.2
2.0
1.0
1.0
1.0
1.0
1.5

3,744
4,618
5,117
2,746
2,112
1,248
3,840
288
288
288
432
24,721

FR 2004

Change

1,248

6

Of these respondents, none are considered small entities as defined by the Small Business Administration (i.e.,
entities with less than $41.5 million in average annual receipts), https://www.sba.gov/document/support--table-sizestandards.

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The estimated total annual cost to the public for the FR 2004 is $1,388,428, and would
increase to $1,462,247 with the revisions.7
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 estimated cost of collecting and processing these data falls entirely on the FRBNY.
The estimated cost to the FRBNY for collecting and processing the FR 2004 is $700,000 per
year.

7

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 $20, 45% Financial Managers at
$73, 15% Lawyers at $72, and 10% Chief Executives at $95). 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 2020, published March 31, 2021, https://www.bls.gov/news.release/ocwage.t01.htm. Occupations are defined
using the BLS Standard Occupational Classification System, https://www.bls.gov/soc/.

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