These reports collect information on market activity from primary dealers in U.S. government securities. This family of reports consists of the Weekly Report of Dealer Positions (FR 2004A), the Weekly Report of Cumulative Dealer Transactions (FR 2004B), the Weekly Report of Dealer Financing and Fails (FR 2004C), the Weekly Report of Specific Issues (FR 2004SI), the Daily Report of Specific Issues (FR 2004SD), and the Daily Report of Dealer Activity in Treasury Financing (FR 2004WI). 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 outright, financing, and fails positions in current or on-the-run issues. Under certain circumstances this information is also collected on a daily basis on the FR 2004SD for on-the-run and off-the-run 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.
Purpose: The Federal Reserve uses the data to monitor the performance of the primary dealers and the condition of the U.S. government securities market. This information enables the Federal Reserve to fulfill its responsibilities in open market operations and act as a fiscal agent for the Department of the Treasury.
In the early 1960s, the Federal Reserve Bank of New York began collecting data on positions, transactions, and financing activity from U.S. government securities dealers with whom it trades. In July 1990, the reports were modified to monitor new market practices, improve reporting instructions, and reduce reporting burden by reducing the reporting frequency from daily to weekly, switching the reporting of position data to market value from par value, changing the reporting of transaction data to principal value rather than par value, and adding data on security failures to the FR 2004C. In 1998, items were added to gather greater detail about federal agency securities positions and transaction volumes, and two columns on matched-book activity were removed.
The panel consists of all primary government securities dealers. A primary dealer is a dealer who has been designated by the Federal Reserve Bank of New York. Participation is required to obtain the benefit of primary dealer status.
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 would be used to collect positions daily, and these data would be 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. 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.
Aggregate data from FR 2004A, B, and C are published in the Federal Reserve Bank of New York's press release, "Weekly Release of Primary Dealer Transactions."