Board of Governors of the Federal Reserve System

FR 2956
Treasury Securities and Agency Debt and Mortgage-Backed Securities Reporting Requirements

Instructions:

Current (216.9 KB .PDF)

Description:

The FR 2956 collects detailed data on depository institutions' daily transactions of marketable U.S. Treasury securities and of the debt and mortgage-backed securities (MBS) issued by U.S. agencies. The report has two parts. Part 1 collects data on transactions in U.S. Treasury debt and Part 2 collects transactions in debt and MBS issued by agencies. Depository institutions subject to the reporting requirements of the FR 2956 report transactions through the Board's data collection vendor, FINRA, utilizing TRACE. Each reporting depository institution needs to comply with the TRACE technical specifications and requirements necessary for reporting the required transactions.

OMB Control Number:

7100-0383

Purpose:

The FR 2956 is a product of the continued efforts by the Treasury Department and the Board to explore efficient and effective ways of collecting comprehensive Treasury market transaction information from depository institutions subject to the Board's reporting requirements. Collecting this information from depository institutions that are not FINRA members but that are active in the Treasury market will allow a more complete analysis of the Treasury trading data and could help identify and address potential anomalies in the market for Treasury securities. This will help the Board and the Federal Open Market Committee (FOMC) understand frictions and disruptions in the market that would affect the implementation of monetary policy.

Background:

On October 15, 2014, the market for Treasury securities experienced an unusually high level of volatility and a rapid decline and recovery in prices. In response to this unexpected occurrence, an existing interagency working group comprised of staff from the U.S. Treasury Department, Board, Federal Reserve Bank of New York, SEC, and U.S. Commodity Futures Trading Commission (collectively, the Joint Staffs) analyzed both the conditions contributing to the events on October 15 and the general structure of the Treasury securities market. The Joint Staffs issued a report (JSR) on July 13, 2015, that detailed preliminary findings regarding the October 15 volatility, described important characteristics of the current structure of the Treasury securities market, and included a proposed series of four "next steps" in understanding the evolution of the Treasury securities market. One of the "next steps" in the JSR was to assess the data available to the public and to the official sector on the U.S. Treasury cash securities market. Following publication of the JSR, the Treasury Department published a request for Information (RFI) on January 22, 2016, seeking public comment on structural changes in the U.S. Treasury market and their implications for the depth, liquidity, and functioning of the market. One stated intent of the RFI was to develop a holistic view of trading and risk management practices across U.S. Treasury futures and cash markets. The RFI noted that due to market evolution "access to timely and comprehensive data across related markets is increasingly important" and the Treasury Department is "interested in the most efficient and effective ways for the official sector to obtain additional market data and in ways to more effectively monitor diverse but related markets." As part of those efforts, and following receipt of comments on the RFI, the Treasury Department and SEC announced they were requesting that FINRA "consider a proposal to require its member brokers and dealers to report Treasury cash market transactions to a centralized repository." In July 2017, FINRA subsequently began collecting from its members' Treasury market transactions data on TRACE, the same reporting platform FINRA uses to collect transactions in corporate debt and agency mortgage-backed debt securities. The Treasury Department also stated it "will continue working with other [federal] agencies to develop a plan for collecting similar data from institutions who actively trade U.S. Treasury securities but are not FINRA members."

Respondent Panel:

The FR 2956 panel comprises depository institutions that meet the reporting thresholds and daily transact in trading of marketable U.S. Treasury securities and the trading of the debt and MBS issued by agencies. Prime brokers or 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 pursuant to FINRA rules will be excluded from the respondent panel.

Frequency:

Reporting transactions will be event-generated and estimated to occur daily.

Public Release:

The data received from this information collection will be included in the various TRACE data products available to market participants, such as data feeds, end-of-day TRACE transaction file, TRACE enhanced historical data, market aggregate statistics, and TRACE Fact Book.