Part 2: Agency debt and MBS

Board of Governors of the Federal Reserve System

DRAFT

Instructions for the Preparation of

Reporting Treasury Securities and Agency Debt and
Mortgage-Backed Securities in TRACE
Reporting Form FR 2956
Effective September 1, 2022

INSTRUCTIONS FOR PREPARATION OF

Reporting Treasury Securities and
Agency Debt and Mortgage-Backed
Securities in TRACE
FR 2956

General Instructions
A. Terms and Abbreviations
For purposes of this report, the following terms shall
be defined as described below:

(1) FINRA is the Financial Industry Regulatory
Authority. FINRA operates under the supervision of the Securities and Exchange Commission (SEC).
(2) TRACE stands for Trade Reporting and Compliance Engine operated by FINRA.
(3) “Agency” means a U.S. “executive agency” as
defined in 5 U.S.C. 105 that is authorized to
issue debt directly or through a related entity,
such as a government corporation, or to guarantee the repayment of principal and/or interest of
a debt security issued by another entity. The
term includes a Government-Sponsored Enterprise and excludes the U.S. Department of the
Treasury (“Treasury”) in the exercise of its
authority to issue U.S. Treasury Securities as
defined in Part 1.
(4) “Agency Debt Security” means a debt security
(i) issued or guaranteed by an Agency; or
(ii) issued by a trust or other entity that was
established or sponsored by a GovernmentSponsored Enterprise for the purpose of issuing
debt securities, where such enterprise provides
collateral to the trust or other entity or retains a
material net economic interest in the reference
tranches associated with the securities issued by
the trust or other entity. The term excludes a
U.S. Treasury Security covered in Part 1 and any
securitized product collateralized by a mortgage,
lease, or other financial asset that may be issued
by an Agency.
FR 2956

(5) “Agency Mortgage-Backed Security” (Agency
MBS) means a type of security issued in conformity with a program of an Agency, for which
the timely payment of principal and interest is
guaranteed by the Agency, and collateralized by
a pool (or pools) of mortgage loans. Agency
MBS also includes SBA-Backed ABS and Collateralized Mortgage Obligations (CMO).
(6) “U.S. Treasury Security” means a security, other
than a savings bond, issued by the U.S. Department of the Treasury to fund the operations of
the federal government or to retire such outstanding securities. The term “U.S. Treasury
Security” also includes separate principal and
interest components of a U.S. Treasury Security
that has been separated pursuant to the Separate
Trading of Registered Interest and Principal of
Securities (STRIPS) program operated by the
U.S. Department of Treasury.
(7) “Securitized Product” means a security collateralized by any type of financial asset, such as a
loan, a lease, a mortgage, or a secured or unsecured receivable.
(8) “Collateralized Debt Obligation” (“CDO”)
means a type of Securitized Product backed by
fixed-income assets (such as bonds, receivables
on loans, or other debt) or derivatives of these
fixed-income assets, structured in multiple
classes or tranches with each class or tranche
entitled to receive distributions of principal
and/or interest in accordance with the requirements adopted for the specific class or tranche.
A CDO includes, but is not limited to, a collateralized loan obligation and a collateralized bond
obligation.
(9) “Commercial Mortgage-Backed Securities”
(“CMBS”) are MBS securities backed by one or
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General Instructions

more mortgage loans on commercial real estate,
including loans on multifamily homes, hotels,
malls, office buildings, hospitals, and other commercial properties.

(10) “Collateralized Mortgage Obligations” (CMO)
is a type of Securitized Product backed by
Agency Pass-Through Mortgage-Backed Securities, mortgage loans, certificates backed by project loans or construction loans, other types of
mortgage-backed securities or assets derivative
of mortgage-backed securities, structured in
multiple classes or tranches with each class or
tranche entitled to receive distributions of principal and/or interest according to the requirements adopted for the specific class or tranche,
and includes a real estate mortgage investment
conduit.
(11) An Agency Pass-Through Mortgage-Backed
Security means a type of Securitized Product
issued in conformity with a program of an
Agency or a GSE, for which the timely payment
of principal and interest is guaranteed by the
Agency or GSE, representing ownership interest
in a pool (or pools) of mortgage loans structured to “pass through” the principal and interest payments to the holders of the security on a
pro rata basis.
(12) “Good delivery” and “not for good delivery”
have the same meaning as described in the Securities Industry and Financial Markets Association’s Uniform Practices Manual, available at
https://www.sifma.org/resources/general/tbamarket-governance/
(13) “Government-Sponsored Enterprise” (GSE)
has the same meaning as defined in 2 U.S.C. 622(8).
(14) “SBA-Backed ABS” means a Securitized Product issued in conformity with a program of the
Small Business Administration (“SBA”), for
which the timely payment of principal and interest is guaranteed by the SBA, representing ownership interest in a pool (or pools) of loans or
debentures and structured to “pass through” the
principal and interest payments made by the
borrowers in such loans or debentures to the
holders of the security on a pro rata basis.
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(15) “TRACE system hours” means the hours the
TRACE system is open, which are 8:00:00 a.m.
Eastern Time through 6:29:59 p.m. Eastern
Time on a business day, unless otherwise
announced by FINRA.
(16) “To Be Announced” (TBA) refers to a transaction in an Agency Pass-Through MortgageBacked Security or an SBA-Backed ABS where
the parties agree that the seller will deliver to the
buyer a pool or pool(s) of a specified face
amount and meeting certain other criteria but
the specific pool or pool(s) to be delivered at
settlement is not specified at the Time of
Execution.

B. Who Must File?
The following depository institutions are subject to
reporting requirements of the FR 2956 on every government securities trading day:

(1) Every national bank, state member bank, state
non-member bank, savings association, or U.S.
branch and agency of a foreign bank filing a
Notice of Government Securities Broker or
Government Securities Dealer Activities (Form
G-FIN; OMB No. 7100-0224) with an average
of dollar volumes of transactions in U.S. Treasury debt above $100 million per day over the
period from October 1 of the previous year
through September 30 of the current year. Entities meeting this threshold would report Part 1
of the FR 2956.
(2) Every national bank, state member bank, state
non-member bank, savings association, or U.S.
branch and agency of a foreign bank filing a
Notice of Government Securities Broker or
Government Securities Dealer Activities (Form
G-FIN; OMB No. 7100-0224) with an average
of dollar volumes of transactions in debt and
MBS issued by agencies above $50 million per
day over the period from October 1 of the previous year through September 30 of the current
year. Entities meeting this threshold would
report Part 2 of the FR 2956.
Depository institutions who file Form G-FIN and are
FINRA members acting as an executing broker and
that therefore already are subject to TRACE reporting
FR 2956

General Instructions

pursuant to FINRA rules are exempt from this reporting requirement.

C. When to File
Reporting transactions would be event-generated and
estimated to occur daily. Depository institutions will
be required to assess annually whether they meet the
reporting criteria. If a depository institution meets the
event-generated threshold to report based on the average of its daily transactions from October 1 of the previous year through September 30, the depository institution will be required to begin to report the
implemented FR 2956 effective January 1 of the following year and continue reporting such transactions
throughout that calendar year.1 If a depository institution that reports on the implemented FR 2956 falls
below the threshold based on the average of its daily
transactions from October 1 of the previous year
through September 30, the depository institution will
be required to continue to report through December 31
of that year but would not be required to report for the
next calendar year.

Part 1: U.S. Treasury Securities Transaction
Reporting
The following reporting requirements apply to all marketable U.S. Treasury Securities, including Treasury
bills, notes, floating rate notes, bonds, inflationprotected securities (“TIPS”), and Separate Trading of
Registered Interest and Principal Securities
(“STRIPS”). Transactions in U.S. Treasury securities
that are not related to the original auction award from
Treasury must be reported, including transactions
executed before the auction and issuance of a security.
Auction awards themselves should not be reported.

(1) Transactions executed on a business day at or
after 12:00:00 a.m. Eastern Time through
5:00:00 p.m. Eastern Time must be reported the
same day during TRACE system hours.
(2) Transactions executed on a business day after
5:00:00 p.m. Eastern Time but before the
TRACE system closes must be reported no later
1. For the initial reporting under FR 2956 beginning on September 1, 2022, depository institutions should assess their transactions
from October 1, 2020 through September 30, 2021 to determine
whether they will be required to report.

FR 2956

than the next business day (T+1) during
TRACE system hours, and, if reported T+1,
designated “as/of ” and include the date of
execution.

(3) Transactions executed on a business day at or
after 6:30:00 p.m. Eastern Time through
11:59:59 p.m. Eastern Time—or on a Saturday,
a Sunday, a federal or religious holiday or other
day on which the TRACE system is not open at
any time during that day (determined using
Eastern Time)—must be reported the next business day (T+1) during TRACE system hours,
designated “as/of ”, and include the date of
execution.

Part 2: Agency Debt Securities and Agency
Mortgage-Backed Securities
The following requirements would apply to all transactions in Agency Debt Securities and Agency MBS.
(A)(1) Except as otherwise specifically provided in
paragraph (A)(2) through paragraph (A)(3), below,
transactions must be reported as provided in this paragraph (A)(1):

(1) Transactions executed on a business day at or
after 12:00:00 a.m. Eastern Time through
7:59:59 a.m. Eastern Time must be reported the
same day no later than 15 minutes after the
TRACE system opens.
(2) Transactions executed on a business day at or
after 8:00:00 a.m. Eastern Time through 6:29:59
p.m. Eastern Time (standard TRACE System
Hours) must be reported within 15 minutes of
the Time of Execution.
(3) Transactions executed on a business day less
than 15 minutes before 6:30:00 p.m. Eastern
Time must be reported no later than 15 minutes
after the TRACE system opens the next business
day (T + 1), and if reported on T + 1, designated
“as/of ” and include the date of execution.
(4) Transactions executed on a business day at or
after 6:30:00 p.m. Eastern Time through
11:59:59 p.m. Eastern Time or on a Saturday, a
Sunday, a federal or religious holiday or other
day on which the TRACE system is not open at
any time during that day (determined using
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General Instructions

Eastern Time) must be reported the next business day (T + 1), no later than 15 minutes after
the TRACE system opens, designated “as/of ”
and include the date of execution.
(A)(2) Except as provided in paragraphs B, C, and D,
below, transactions in collateralized debt obligations
(CDOs) and commercial mortgage-backed securities
(CMBS) executed on:

(1) a business day at or after 12:00:00 a.m. Eastern
Time through 5:00:00 p.m. Eastern Time must
be reported the same day during TRACE
System Hours;
(2) a business day after 5:00:00 p.m. Eastern Time
but before the TRACE system closes must be
reported no later than the next business day
(T + 1) during TRACE System Hours, and, if
reported on T + 1, designated “as/of ” and
include the date of execution; or
(3) a business day at or after 6:30:00 p.m. Eastern
Time through 11:59:59 p.m. Eastern Time, or a
Saturday, a Sunday, a federal or religious holiday or other day on which the TRACE system is
not open at any time during that day (determined using Eastern Time) must be reported the
next business day (T + 1) during TRACE
System Hours, designated “as/of ” and include
the date of execution.
B. Transactions in Securitized Products that are Collateralized Mortgage Obligations (CMOs) that are
executed before the issuance of the security must be
reported no later than the first settlement date of the
security. If the transaction is reported other than on
the date of execution, the transaction report must be
designated “as/of ” and include the date of execution.
C. Transactions in Securitized Products that are
Agency Pass-Through Mortgage-Backed Securities
traded “To Be Announced” (TBA) for good delivery
(GD) (MBS TBA transactions GD) must be reported
as provided in paragraph (A)(1)(i) through paragraph
(A)(1)(iv).
D. Transactions in Securitized Products that are
Agency Pass-Through Mortgage-Backed Securities
traded TBA not for good delivery (NGD) (MBS TBA
transactions NGD), Agency Pass-Through MortgageBacked Securities traded in Specified Pool TransacGEN-4

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tions (MBS Specified Pool transactions), or Transactions in CMOs executed at or after issuance must be
reported as provided in this paragraph:

(1) Transactions executed on a business day at or
after 12:00:00 a.m. Eastern Time through
7:59:59 a.m. Eastern Time must be reported the
same day no later than 60 minutes after the
TRACE system opens.
(2) Transactions executed on a business day at or
after 8:00:00 a.m. Eastern Time through 6:29:59
p.m. Eastern Time (standard TRACE System
Hours) must be reported within 60 minutes of
the Time of Execution, except as provided in
paragraph (A)(3)(iii) below.
(3) Transactions executed on a business day less
than 60 minutes before 6:30:00 p.m. Eastern
Time must be reported no later than 60 minutes
after the TRACE system opens the next business
day (T + 1), and if reported on T + 1, designated
“as/of ” and include the date of execution.
(4) Transactions executed on a business day at or
after 6:30:00 p.m. Eastern Time through
11:59:59 p.m. Eastern Time or on a Saturday, a
Sunday, a federal or religious holiday or other
day on which the TRACE system is not open at
any time during that day (determined using
Eastern Time) must be reported the next business day (T + 1), no later than 60 minutes after
the TRACE system opens, designated “as/of ”
and include the date of execution.
(A)(3) Applies only to Agency Debt Securities

(1) A List or Fixed Offering Price Transaction or a
Takedown Transaction that is executed on a
business day at or after 12:00:00 a.m. Eastern
Time through 11:59:59 p.m. Eastern Time must
be reported no later than the next business day
(T + 1) during TRACE System Hours and if
reported on T + 1, designated “as/of ” and
include the date of execution.
(2) A List or Fixed Offering Price Transactions or
Takedown Transactions executed on a Saturday,
a Sunday, a federal or religious holiday or other
day on which the TRACE system is not open at
any time during that day (determined using
Eastern Time) must be reported the next busiFR 2956

General Instructions

ness day (T + 1) at any time during TRACE
System Hours, designated “as/of ” and include
the date of execution.

D. How and Where to file
Depository institutions subject to reporting under
Parts 1 and 2 of the FR 2956 collection are required to
report all the transaction details, information, and
fields as described in the applicable TRACE technical
documentation, FAQs, and guides (collectively,
“TRACE documentation”) located at https://
www.finra.org/filing-reporting/trace. This information
would include, but is not limited to, the Committee on

FR 2956

Uniform Securities Identification Procedures (CUSIP)
number or similar identifier, the transaction size (volume), price of the transaction, date of trade execution,
time of execution, and date of settlement.

E. Disclosure of Information
The obligation to respond to the FR 2956 would be
mandatory. The information collected through the
FR 2956 would generally be considered confidential
under exemption 4 of the Freedom of Information Act
as confidential commercial or financial information
that is both customarily and actually treated as private.

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