[Code of Federal Regulations]
[Title 17, Volume 3]
[Revised as of April 1, 2006]
From the U.S. Government Printing Office via GPO Access
[CITE: 17CFR420.3]

[Page 1015-1017]
 
              TITLE 17--COMMODITY AND SECURITIES EXCHANGES
 
                 CHAPTER IV--DEPARTMENT OF THE TREASURY
 
PART 420_LARGE POSITION REPORTING--Table of Contents
 
Sec.  420.3  Reporting.

    (a) A reporting entity is subject to the reporting requirements of 
this section only when its reportable position equals or exceeds the 
large position threshold specified by the Department for a specific 
Treasury security issue. The Department shall provide notice of such 
threshold by issuance of a press release and subsequent publication of 
the notice in the Federal Register. Such notice will identify the 
Treasury security issue to be reported (including, where applicable, 
identification of the related STRIPS principal component); the date or 
dates (as of close of business) for which the large position information 
must be reported; and the applicable large position threshold for that 
issue. It is the responsibility of a reporting entity to take reasonable 
actions to be aware of such a notice.
    (b) A reporting entity shall select one entity from among its 
aggregating entities (i.e., the designated filing entity) as the entity 
designated to compile and file a report on behalf of the reporting 
entity. The designated filing entity shall be responsible for filing any 
large position reports in response to a notice issued by the Department 
and for maintaining the additional records prescribed in the applicable 
paragraph of Sec.  420.4.
    (c)(1) In response to a notice issued under paragraph (a) of this 
section requesting large position information, a reporting entity with a 
reportable position that equals or exceeds the specified large position 
threshold stated in the notice shall compile and report the amounts of 
the reporting entity's reportable position in the order specified, as 
follows:
    (i) Net trading position, and each of the following items that 
together comprise the net trading position:
    (A) Cash/immediate net settled positions,
    (B) Net when-issued positions for to-be-issued and reopened issues,
    (C) Net forward settling positions, including next-day settling,
    (D) Net positions in futures contracts requiring delivery of the 
specific security, and
    (E) Net holdings of STRIPS principal components of the specific 
security;
    (ii) Gross financing position and each of the following items that 
comprise the gross financing position:
    (A) Securities received through reverse repurchase agreements by 
maturity classification:
    (1) Overnight and open, and
    (2) Term (report the total dollar amount of the outstanding 
contracts, summing across maturity dates), and
    (B) Securities received through bonds borrowed, and as collateral 
for financial derivatives and other financial transactions.

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    (iii) Net fails position; and
    (iv) Total reportable position.
    (2) The large position report must include the following two 
additional memorandum items:
    (i) The total gross par amounts of securities delivered through:
    (A) Repurchase agreements by maturity classification:
    (1) Overnight and open, and
    (2) Term (report the total dollar amount of the outstanding 
contracts, summing across maturity dates), and
    (B) Securities loaned, and as collateral for financial derivatives 
and other securities transactions.
    (ii) The gross par amount of ``fails to deliver'' in the security. 
This total must also be included in Net Fails Position, Line 3.
    (3) An illustration of a sample report is contained in Appendix B.
    Each of the net trading position components shall be netted and 
reported as a positive number (long position), a negative number (short 
position), which should be shown in parenthesis, or zero (flat 
position). The total net trading position shall also be reported as the 
applicable positive or negative number (or zero). Each of the components 
of the gross financing position shall be reported. The total gross 
financing position, which is the sum of the gross financing position 
components, shall also be reported. The net fails position should be 
reported as a single entry. If the amount of the net fails position is 
zero or less, report zero. The total reportable position, which is the 
sum of the net trading position, gross financing position, and net fails 
position, must be reported. Each component of Memorandum 1 shall be 
reported. The total of Memorandum 1, which is the sum of its components, 
shall also be reported. Memorandum 2, which is the gross par amount of 
fails to deliver, shall also be reported. All of these positions should 
be reported in the order specified above. All position amounts should be 
reported on a trade date basis and at par in millions of dollars.
    (4) All positions must be reported as of the close of business of 
the reporting date(s) specified in the notice.
    (5) Each submitted large position report must include the following 
administrative information in addition to the reportable position: the 
name of the reporting entity, the address of the principal place of 
business, the name and address of the designated filing entity, the 
Treasury security that is being reported, the CUSIP number for the 
security being reported, the report date or dates for which information 
is being reported, the date the report was submitted, the name and 
telephone number of the person to contact regarding information 
reported, and the name and position of the authorized individual 
submitting this report.
    (6) The large position report must be signed by one of the 
following: the chief compliance officer; chief legal officer; chief 
financial officer; chief operating officer; chief executive officer; or 
managing partner or equivalent. The designated filing entity must also 
include in the report, immediately preceding the signature, a statement 
of certification as follows:

    By signing below, I certify that the information contained in this 
report with regard to the designated filing entity is accurate and 
complete. Further, after reasonable inquiry and to the best of my 
knowledge and belief, I certify: (i) That the information contained in 
this report with regard to any other aggregating entities is accurate 
and complete; and (ii) that the reporting entity, including all 
aggregating entities, is in compliance with the requirements of 17 CFR 
Part 420.

    (7) The report must be filed before noon Eastern time on the fourth 
business day following issuance of the press release.
    (d) A report to be filed pursuant to paragraph (c) of this section 
will be considered filed when received by the Federal Reserve Bank of 
New York, Market Reports Division. The report may be filed with the 
Federal Reserve Bank of New York by facsimile or delivered hard copy. 
The Federal Reserve Bank of New York may in its discretion also 
authorize additional means of reporting.
    (e) A reporting entity that has filed a report pursuant to paragraph 
(c) of this section shall, at the request of the Department or the 
Federal Reserve Bank

[[Page 1017]]

of New York, timely provide any supplemental information pertaining to 
such report.

(Approved by the Office of Management and Budget under control number 
1535-0089)

[61 FR 48348, Sept. 12 1996, as amended at 67 FR 77414, Dec. 18, 2002; 
70 FR 73378, Dec. 12, 2005]