FR 2004
Government Securities Dealers Reports
Form:
Instructions:
Description:
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), 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), 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 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. Under certain circumstances this information is also collected on a daily basis on the FR 2004SD for any unusual trading practices that may have occurred 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 FR 2004FA reports Class A Agency and government sponsored enterprise (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.
OMB Control Number:
7100-0003
Purpose:
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 financing conditions and a range of financial stability issues.
Background:
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 Treasury-Federal 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.
Respondent Panel:
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.
Frequency:
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 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. 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 Release:
Summary data from the FR 2004A, B, C, and SI are published each Thursday and summary data from the 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.
Historical
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Form: July 2021 (798.0 KB .PDF) | Instructions: July 2021 (357.1 KB .PDF)
Form: December 2020 (797.9 KB .PDF) | Instructions: December 2020 (357.1 KB .PDF)
Form: December 2017 (811.7 KB .PDF) | Instructions: December 2017 (357.1 KB .PDF)
Form: January 2015 (836.0 KB .PDF) | Instructions: January 2015 (357.1 KB .PDF)
Form: March 2013 (361.0 KB .PDF) | Instructions: March 2013 (136.5 KB .PDF)
Form: January 2013 (83.4 KB .PDF) | Instructions: January 2013 (91.7 KB .PDF)
Form: January 2010 (41.8 KB .PDF) | Instructions: January 2010 (97.3 KB .PDF)
Form: March 2007 (178.1 KB .PDF) | Instructions: March 2007 (163.9 KB .PDF)
Form: December 2006 (115.1 KB .PDF) | Instructions: December 2006 (143.9 KB .PDF)
Form: October 2004 (89.9 KB .PDF) | Instructions: October 2004 (146.2 KB .PDF)
Form: January 2004 (677.3 KB .PDF) | Instructions: January 2004 (526.3 KB .PDF)
Form: June 2001 (122.8 KB .PDF) | Instructions: June 2001 (42.4 KB .PDF)
Form: February 2001 (435.8 KB .PDF) | Instructions: February 2001 (117.3 KB .PDF)
Form: January 1998 (22.8 KB .PDF) | Instructions: January 1998 (117.3 KB .PDF)