73408 Federal Register / Vol. 79, No. 237 / Wednesday, December 10, 2014 / Rules and Regulations 

1 17 CFR 420.2. 

2Public Law 103–202, 107 Stat. 2344 (1993) [15 

U.S.C. 78o–5(f)]. 

3 79 FR 33145 (June 10, 2014). 

4 Joint Report on the Government Securities 

Market, Department of the Treasury, Securities and 

Exchange Commission, and Board of Governors of 

the Federal Reserve System (1992). See 

www.treasurydirect.gov. Market participants use the 

term ‘‘squeeze’’ to refer to a shortage of supply 

relative to demand for a particular security, as 

evidenced by a movement in its price to a level that 

is out of line with prices of comparable securities— 

either outright trading quotations or in financing 

arrangements. 

5Treasury may request information on securities 

that fall outside of these timeframes if such large 

position information is necessary and appropriate 

for monitoring the impact of concentrations of 

positions in Treasury securities. (See 17 CFR 

420.2(g)(5)). 

DEPARTMENT OF THE TREASURY 

17 CFR Part 420 

[Docket No. Treas–DO–2014–0002] 

Government Securities Act 

Regulations: Large Position Reporting 

Rules 

AGENCY: Office of the Assistant 

Secretary for Financial Markets, 

Treasury. 

ACTION: Final rule. 

SUMMARY: The Department of the 

Treasury (Treasury) is amending its 

rules for reporting large positions in 

certain Treasury securities. The large 

position reporting rules are issued 

under the Government Securities Act 

(GSA) for the purposes of monitoring 

the impact in the Treasury securities 

market of concentrations of positions in 

Treasury securities and otherwise 

assisting the Securities and Exchange 

Commission (SEC) in enforcing the 

GSA. In addition, the large position 

reports provide Treasury with 

information to better understand supply 

and demand dynamics in certain 

Treasury securities. These amendments 

are designed to improve the information 

available to Treasury and simplify the 

reporting process for many entities 

subject to the large position reporting 

rules. 

DATES: The amendments will become 

effective March 10, 2015. 

ADDRESSES: This final rule is available at 

http://www.treasurydirect.gov and 

http://www.regulations.gov. It is also 

available for public inspection and 

copying at the Treasury Department 

Library, Treasury Annex Room 1020, 

1500 Pennsylvania Avenue NW., 

Washington, DC 20220. To visit the 

library, call (202) 622–0990 for an 

appointment. 

FOR FURTHER INFORMATION CONTACT: Lori 

Santamorena, Executive Director, or 

Kevin Hawkins, Government Securities 

Advisor, Department of the Treasury, 

Bureau of the Fiscal Service, 

Government Securities Regulations 

Staff, (202) 504–3632 or email us at 

govsecreg@fiscal.treasury.gov. 

SUPPLEMENTARY INFORMATION: Treasury 

is amending the large position reporting 

(LPR) rules to improve the information 

reported so that we can better 

understand supply and demand 

dynamics in certain Treasury securities. 

Specifically, the amendments: (1) 

Eliminate the exemptions for foreign 

central banks, foreign governments, and 

international monetary authorities 

(collectively ‘‘foreign official 

organizations’’) and request that these 

entities, as well as U.S. Federal Reserve 

Banks for their own account, voluntarily 

submit large position reports (Reports) 

when they meet or exceed a reporting 

threshold; (2) replace the current $2 

billion minimum reporting threshold 

with a percentage standard; (3) establish 

an additional reporting threshold for the 

number of futures, options on futures, 

and exchange-traded options contracts 

controlled by the reporting entity for 

which the specified Treasury security is 

deliverable; (4) replace the concept of 

the ‘‘reportable position’’ with a 

requirement that defined reporting 

entities 1 must file a Report if any one 

of eight criteria is met; (5) revise the 

format for the reporting of positions in 

the specified Treasury security and 

establish a two-column format for the 

reporting of gross ‘‘obligations to 

receive’’ and gross ‘‘obligations to 

deliver’’ as well as the gross quantity of 

securities borrowed and the gross 

quantity of securities lent; (6) expand 

the components of a position to include 

futures, options on futures, and options 

(both exchange-traded and over-thecounter) and establish a two-column 

format for reporting net positions in 

these contracts; (7) provide an option for 

a reporting entity to identify the type(s) 

of business it engages in and to identify 

its overall investment strategy with 

respect to positions in the specified 

Treasury security; and (8) consolidate 

relevant guidance in the LPR rules. 

These amendments reflect Treasury’s 

continuing need to obtain relevant 

information from reporting entities 

while minimizing the cost and burden 

on those entities affected by the 

regulations. We believe these 

amendments are consistent with the 

findings of Congress that ‘‘(1) the liquid 

and efficient operation of the 

government securities market is 

essential to facilitate government 

borrowing at the lowest possible cost to 

taxpayers; and (2) the fair and honest 

treatment of investors will strengthen 

the integrity and liquidity of the 

government securities market.’’ 2 In this 

final rule, we provide background on 

the current LPR rules, discuss the 

amendments proposed in the notice of 

proposed rulemaking (NPR) issued on 

June 10, 2014 3 and public comments 

received, and then describe the 

amendments in the final rule. As 

explained below, we are adopting the 

amendments proposed in the NPR with 

nonsubstantive, technical modifications. 

Table of Contents 

I. Current Large Position Reporting Rules 

A. Statutory Authority 

B. Rulemaking 

C. Reporting and Recordkeeping 

Requirements 

1. On-Demand Reporting System 

2. Who Is Subject to the Large Position 

Reporting Rules 

3. Notice Requesting Large Position 

Reports 

4. Control 

5. Components of a Position 

6. Recordkeeping 

D. Calls for Large Position Reports 

II. Proposed Amendments to the Large 

Position Reporting Rules 

III. Comments Received in Response to the 

Proposed Amendments 

A. Reporting Format 

B. Tri-Party Repurchase Agreement Shells 

C. Futures and Options Contracts 

D. Worked Examples 

E. Transition 

IV. Section-by-Section Analysis of the Final 

Amendments 

A. Section 420.1—Applicability 

B. Section 420.2—Definitions 

1. Control 

2. Large Position Threshold 

3. Reporting Requirement 

4. Tri-Party Repurchase Agreements 

C. Section 420.3—Reporting 

1. Reporting Format 

2. Gross Reporting 

3. Futures and Options Contracts 

4. Components of a Position 

5. Optional Administrative Information 

D. Appendix B to Part 420—Sample Large 

Position Report 

V. Effective Date and LPR Workshops 

VI. Paperwork Reduction Act 

VII. Special Analysis 

I. Current Large Position Reporting 

Rules 

A. Statutory Authority 

In response to short squeezes in twoyear Treasury notes that occurred in the 

government securities market in 1990– 

1991,4 Congress included a large 

position reporting provision in the 1993 

amendments to the GSA. This provision 

grants Treasury authority to prescribe 

rules requiring specified persons 

holding, maintaining, or controlling 

large positions in to-be-issued or 

recently-issued 5 Treasury securities to 

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Federal Register / Vol. 79, No. 237 / Wednesday, December 10, 2014 / Rules and Regulations 73409 

6 15 U.S.C 78o–5(f)(1). 

7 15 U.S.C. 78o–5(f)(6). 

8 61 FR 48338 (September 12, 1996). 

9 67 FR 77411 (December 18, 2002). 

10 17 CFR 420.1(b). 

11 17 CFR 420.1(c). 

12The notice is in the form of a Treasury press 

release that is posted to the Treasury and 

TreasuryDirect Web sites, subsequently published 

in the Federal Register, and also disseminated via 

social media, major news and financial 

publications, and wire services. An electronic 

mailing list that distributes the notice to subscribers 

is also available at www.treasurydirect.gov. 

13 17 CFR 420.2(b). 

14 17 CFR 420.2(h). 

15See 17 CFR 420.2 for definitions of gross 

financing position, net fails position, and net 

trading position. 

16 17 CFR 420.4. 

17So that market participants remain 

knowledgeable about the LPR rules, specifically 

how to calculate and report a reportable position, 

Treasury ‘‘tests’’ the reporting system by requesting 

Reports annually, regardless of market conditions 

for a particular security. See 60 FR 65223 

(December 18, 1995). 

18 79 FR 33145 (June 10, 2014). 

19 61 FR 48342 (September 12, 1996). 

keep records and, when requested by 

Treasury, file reports of such large 

positions. The provision was intended 

to improve Treasury’s collection of 

information on large positions in 

Treasury securities held by market 

participants. Such information allows 

Treasury to monitor the impact of 

concentrations of positions in the 

Treasury securities market. This 

information is also made available to the 

Federal Reserve Bank of New York 

(FRBNY), as Treasury’s agent, and the 

SEC.6 Treasury does not believe that 

large positions in Treasury securities are 

inherently problematic and there is no 

presumption of manipulative or illegal 

intent merely because a reporting 

entity’s position is large enough to be 

subject to Treasury’s LPR rules. 

The GSA specifically provides that 

Treasury shall not be compelled to 

disclose publicly any information 

required to be kept or reported for large 

position reporting. In particular, the 

GSA exempts such information from 

disclosure under the Freedom of 

Information Act.7

B. Rulemaking 

Treasury published final rules in 1996 

that established recordkeeping and 

reporting requirements related to large 

positions in certain Treasury securities.8

The LPR rules were subsequently 

amended in 2002 to improve the 

collection of information in the Reports 

by requiring more detailed reporting of 

certain components of the formula for 

determining a reportable position, 

adding a second memorandum item that 

requires the reporting of the gross par 

amount of ‘‘fails to deliver,’’ and 

modifying the definition of ‘‘gross 

financing position’’ to eliminate the 

optional exclusion in the calculation of 

the amount of securities received 

through financing transactions.9

C. Reporting and Recordkeeping 

Requirements 

1. On-Demand Reporting System 

An ‘‘on-demand’’ reporting system, 

rather than a regular, ongoing system of 

reporting, provides Treasury with the 

information necessary to understand 

supply and demand dynamics in the 

Treasury securities market, while 

minimizing the potential impact on the 

market’s efficiency and liquidity and the 

cost to taxpayers of funding the federal 

debt. It also minimizes the cost and 

burden to those reporting entities 

affected by the LPR rules. 

2. Who Is Subject to the Large Position 

Reporting Rules 

Treasury’s LPR rules apply to all 

foreign and domestic persons and 

entities that control a reportable 

position in a Treasury security, 

including: Government securities 

brokers and dealers; registered 

investment companies; registered 

investment advisers; custodians, 

including depository institutions, that 

exercise investment discretion; hedge 

funds; pension funds; insurance 

companies; and foreign affiliates of U.S. 

entities. 

The current rules provide an 

exemption for foreign official 

organizations.10 U.S. Federal Reserve 

Banks are also exempt for the portion of 

any reportable position they control for 

their own account.11

3. Notice Requesting Large Position 

Reports 

Reports must be filed with FRBNY in 

response to a notice from Treasury 

requesting large position information on 

a specific issue of a Treasury security.12

The Reports must be filed by defined 

reporting entities controlling positions 

that equal or exceed the reporting 

threshold specified in the notice. 

FRBNY must receive the Reports before 

noon Eastern time on the fourth 

business day after the issuance of the 

notice calling for large position 

information. 

4. Control 

Treasury defines ‘‘control’’ as the 

authority to exercise investment 

discretion over the purchase, sale, 

retention, or financing of specific 

Treasury securities.13 Investment 

discretion can be exercised by the 

beneficial owner, a custodian, or an 

investment adviser. The party 

responsible for making investment 

decisions, regardless of where securities 

are held, is the relevant reporting entity 

for large position reporting because the 

actions and objectives of the decision 

maker are what we are trying to 

determine. 

5. Components of a Position 

Under the current rules, a reportable 

position is the sum of the net trading 

positions, gross financing positions and 

net fails positions in a specified issue of 

Treasury securities collectively 

controlled by a reporting entity.14

Specific components of these positions 

are identified at § 420.2.15 Position 

amounts are required to be reported on 

a trade date basis at par value. 

6. Recordkeeping 

The recordkeeping requirements 

provide that any reporting entity 

controlling at least $2 billion of a 

particular Treasury security must 

maintain and preserve certain records 

that enable it to compile, aggregate, and 

report large position information.16

D. Calls for Large Position Reports 

Treasury has conducted 14 calls since 

the LPR rules became effective in 

1996.17 We are amending the rules 

based on the experience gained from 

these calls. 

II. Proposed Amendments to the Large 

Position Reporting Rules 

On June 10, 2014, Treasury issued an 

NPR in which we proposed several 

amendments to Treasury’s LPR rules.18

In the NPR, Treasury proposed to 

eliminate the exemptions for foreign 

official organizations and U.S. Federal 

Reserve Banks (for their own account) 

and request that these organizations 

voluntarily submit Reports if they meet 

or exceed the reporting threshold(s). 

Foreign official organizations were 

exempted from the LPR rules issued in 

1996 because they did not typically 

control large positions in Treasury 

securities and subjecting them to the 

reporting requirement would have 

presented legal and jurisdictional 

issues.19 Since that time, foreign official 

organizations have significantly 

increased their participation in the 

Treasury securities market. Foreign 

official organizations have an interest in 

this market being liquid and wellfunctioning. U.S. Federal Reserve Banks 

were also exempted for the portion of 

any reportable position they controlled 

for their own account. Treasury believes 

that the voluntary submission of Reports 

by foreign official organizations and 

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73410 Federal Register / Vol. 79, No. 237 / Wednesday, December 10, 2014 / Rules and Regulations 

20 17 CFR 420.4(a)(1). 

21The Federal Reserve System’s Fedwire®

Securities Service is a book-entry securities transfer 

system that provides safekeeping, transfer, and 

delivery-versus-payment settlement services. The 

Fedwire Securities Service operates daily from 8:30 

a.m. to 3:30 p.m. Eastern Time. 

22STRIPS (Separate Trading of Registered Interest 

and Principal of Securities) means Treasury’s 

program under which eligible securities are 

authorized to be separated into principal and 

interest components, and transferred separately. See 

31 CFR 356.2. 

U.S. Federal Reserve Banks is consistent 

with the purposes of the GSA and will 

help Treasury to better understand 

supply and demand dynamics in the 

Treasury securities market. 

The NPR proposed to replace the 

current $2 billion minimum reporting 

threshold with a minimum threshold 

that is 10 percent of the outstanding 

amount of the specified Treasury 

security. Given the large range of issue 

sizes among various Treasury securities, 

making the minimum reporting 

threshold a percentage of the amount of 

the security outstanding may be a better 

indicator of concentrations of control. A 

percentage threshold would allow for a 

threshold that is less than the current $2 

billion minimum. We would state the 

dollar amount of the reporting threshold 

in the notice and press release 

announcing a call for Reports. Treasury 

did not, however, propose amending the 

$2 billion threshold that triggers the 

LPR recordkeeping requirement.20

Treasury also proposed to replace the 

concept of the reportable position with 

a reporting requirement that reporting 

entities must file a Report if any one of 

seven criteria is met. For certain 

reporting criteria Treasury would 

announce different thresholds. 

Applying several different criteria may 

provide greater insight into gross 

exposures large enough to potentially 

impact the liquidity of the security, 

regardless of how the position was 

acquired. However, under no 

circumstances would a large position 

threshold be less than 10 percent of the 

amount outstanding of the specified 

Treasury security. 

The NPR also introduced the term 

‘‘tri-party repurchase agreement shell.’’ 

A tri-party repurchase agreement (repo) 

shell is an account created on the books 

of a tri-party repo agent bank following 

confirmation of a tri-party repo 

transaction between a cash lender and a 

collateral provider. Each shell has a 

unique account number and an 

eligibility rule set based on an 

agreement between the cash lender and 

the collateral provider. 

Treasury proposed a revised format 

for an entity to report its positions and 

settlement obligations in the specified 

Treasury security, including: (1) 

Positions at the opening of the Federal 

Reserve System’s Fedwire® Securities 

Service (Fedwire),21 (2) settlement 

obligations created prior to and on the 

report date, and (3) positions at the 

close of Fedwire. The proposed 

reporting format would provide 

Treasury a better understanding of 

reporting entities’ positions in the 

specified Treasury security leading up 

to the report date, their settlement 

obligations created prior to or on the 

report date, and their positions at the 

end of the report date. 

For transactions between different 

entities, Treasury proposed a twocolumn format for positions to be 

reported on a gross basis in order to 

separate settlement ‘‘obligations to 

receive’’ and ‘‘obligations to deliver.’’ 

This format would potentially make it 

easier for Treasury to understand a 

reporting entity’s trading activity, 

including what positions it might 

control in the future. This approach may 

also be easier for many reporting entities 

to understand because it may align more 

closely with the way they typically 

maintain their records. 

In the NPR, Treasury proposed to 

expand the components of a position to 

also include futures, options on futures, 

and options contracts for which the 

specified Treasury security is 

deliverable. The components would 

include contracts that require delivery 

of the specified Treasury security as 

well as contracts that allow for the 

delivery of several securities. 

Treasury also proposed to replace the 

current components of a total reportable 

position with the following report 

components: 

a. Positions in the Security Being 

Reported at the Opening of Fedwire on 

the Report Date, including positions: 

i. In accounts of the reporting entity; 

ii. In tri-party repurchase agreement 

shells; 

iii. As collateral or margin against 

financial derivatives and other 

contractual obligations of the reporting 

entity; and 

iv. Controlled by any other means. 

b. Settlement Obligations Attributable 

to Purchase and Sale Contracts 

Negotiated Prior to and on the Report 

Date (excluding settlement fails), 

including: 

i. Obligations to receive or deliver, on 

the report date, the security being 

reported attributable to contracts for 

cash settlement (T+0); 

ii. Obligations to receive or deliver, on 

the report date, the security being 

reported attributable to contracts for 

regular settlement (T+1); 

iii. Obligations to receive or deliver, 

on the report date, the security being 

reported attributable to forward 

contracts, including when-issued 

contracts, for forward settlement (T+n, 

n>1); 

iv. Obligations to receive, on the 

report date, the security being reported 

attributable to Treasury auction awards; 

and 

v. Obligations to receive or deliver, on 

the report date, principal STRIPS 22

derived from the security being reported 

attributable to contracts for cash 

settlement, regular settlement, whenissued contracts, and forward contracts. 

c. Settlement Obligations Attributable 

to Delivery-versus-Payment Financing 

Contracts (including repurchase 

agreements and securities lending 

agreements) Negotiated Prior to and on 

the Report Date (excluding settlement 

fails), including: 

i. Obligations to receive or deliver, on 

the report date, the security being 

reported, and principal STRIPS derived 

from the security being reported, 

attributable to overnight agreements; 

ii. Obligations to receive or deliver, on 

the report date, the security being 

reported, and principal STRIPS derived 

from the security being reported, 

attributable to term agreements opened 

on, or due to close on, the report date; 

iii. Obligations to receive or deliver, 

on the report date, the security being 

reported, and principal STRIPS derived 

from the security being reported, 

attributable to open agreements opened 

on, or due to close on, the report date. 

d. Settlement Fails from Days Prior to 

the Report Date (Legacy Obligations), 

including: 

i. Obligations to receive or deliver, on 

the report date, the security being 

reported, and principal STRIPS derived 

from the security being reported, arising 

out of settlement fails on days prior to 

the report date. 

e. Settlement Fails as of the Close of 

Fedwire on the Report Date, including: 

i. Obligations to receive or deliver, on 

the business day following the report 

date, the security being reported, and 

principal STRIPS derived from the 

security being reported, arising out of 

settlement fails on the report date. 

f. Positions in the Security Being 

Reported at the Close of Fedwire on the 

Report Date, including positions: 

i. In accounts of the reporting entity; 

ii. In tri-party repurchase agreement 

shells; 

iii. As collateral or margin against 

financial derivatives and other 

contractual obligations of the reporting 

entity; and 

iv. Controlled by any other means. 

g. Quantity of Continuing Deliveryversus-Payment Financing Contracts for 

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Federal Register / Vol. 79, No. 237 / Wednesday, December 10, 2014 / Rules and Regulations 73411 

23Comment letter of Matthew Lykken (June 7, 

2014), and comment letter of the Securities Industry 

and Financial Markets Association (August 8, 

2014), are available at http://www.treasurydirect.

gov/instit/statreg/gsareg/gsareg.htm. 

24 60 FR 65219 (December 18, 1995). 

the Security Being Reported, including 

the: 

i. Net amount of security being 

reported lent out on term repurchase 

agreements that were opened before the 

report date and that were not due to 

close until after the report date, and on 

open repurchase agreements that were 

opened before the report date and that 

were not closed on the report date. 

h. Futures and Options Contracts, 

including the: 

i. Net long position, immediately 

prior to the opening of futures and 

options trading on the report date, in 

futures, options on futures, and options 

contracts on which the security being 

reported is deliverable; and 

ii. Net long position, immediately 

following the close of futures and 

options trading on the report date, in 

futures, options on futures, and options 

contracts on which the security being 

reported is deliverable. 

All amounts would be reported as 

positive numbers and at par in millions 

of dollars. 

In the NPR, Treasury proposed an 

option for reporting entities to identify 

the type(s) of business engaged in by the 

reporting entity and its aggregating 

entities with respect to positions in the 

specified Treasury security by checking 

the appropriate box. Treasury also 

proposed an option for reporting entities 

to identify their overall investment 

strategy with respect to positions in the 

specified Treasury security by checking 

the appropriate box. Knowing the 

type(s) of business in which the 

reporting entity is engaged and its 

overall investment strategy with respect 

to the specified Treasury security would 

help us better understand the positions 

included in the entity’s Report. 

The current LPR rules specify the 

positions that entities are required to 

report, however, additional guidance on 

the treatment of specific transactions is 

contained in the preambles to the 

previous proposed and final rules, and 

a list of Frequently Asked Questions 

available on the TreasuryDirect Web 

site. The NPR proposed to consolidate 

certain guidance in the rules 

themselves, which may help to simplify 

the reporting process and make the 

reporting requirements clearer. 

III. Comments Received in Response to 

the Proposed Amendments 

In response to the proposed rule, 

Treasury received comment letters from 

a private citizen and a financial services 

industry trade association (‘‘trade 

association’’ or ‘‘commenter’’).23 The 

private citizen’s comments were not 

responsive to the request for comments 

on the proposed LPR amendments. 

While broadly supporting Treasury’s 

goals and generally supportive of the 

proposed amendments in the NPR, the 

trade association raised several 

questions and technical comments. 

A. Reporting Format 

The trade association expressed 

concern that using a revised format that 

would require reporting entities to 

report certain information as of the 

opening and closing of Fedwire would 

not reflect actual, formal openings and 

closings of the Treasury and funding 

markets. The commenter also asserted 

that it would create significant 

operational burdens and possibly 

require manual processing that could 

undermine the overall quality of the 

information Treasury ultimately 

receives. Further, the trade association 

commented that, for many firms, the 

proposed reporting times reflect 

intraday positions. The commenter 

noted that, ‘‘member firms could not 

reconcile intraday positions to verify the 

accuracy of non-end-of-day positions.’’ 

The commenter suggested that, 

‘‘Treasury consider retaining its current 

close of business requirement for certain 

positions on the report date.’’ 

B. Tri-Party Repurchase Agreement 

Shells 

The trade association requested 

further guidance as to what positions 

are reportable under Part I, Line 2 ‘‘held 

in tri-party repurchase agreement 

shells.’’ 

C. Futures and Options Contracts 

The trade association questioned the 

expansion of the LPR rules to include 

certain futures and options that allow 

for the delivery of several securities. 

Currently, the rules only require the 

reporting of positions in futures 

contracts that require the delivery of the 

specified Treasury security. The 

commenter asserted that Treasury’s 

views stated in the 1995 proposed LPR 

rules 24 ‘‘are still appropriate today (and 

arguably even more so given the 

Chicago Board of Trade’s adoption of 

position limits on Treasury futures in 

2005).’’ 

The commenter noted that Treasury’s 

1995 proposed LPR rules stated the 

following: 

• Options and certain futures 

contracts are excluded because they do 

not provide the holder with either 

immediate control or an effective way to 

manipulate the price of a specific 

security. 

• For options, an entity would only 

gain control of the security at the time 

the position is exercised, at which time 

the security would become a component 

of a reportable position. 

• Large positions in futures contracts 

are already reported to the Commodity 

Futures Trading Commission. Thus, this 

information will be available to 

Treasury, if needed, without imposing 

additional reporting requirements. 

The commenter noted that, ‘‘the data 

collected could overstate current issue 

positions and not provide the Treasury 

with an accurate picture of the potential 

demand and supply characteristics of a 

particular security. This could 

potentially compromise the overall 

value and general usefulness of this 

information to the Treasury.’’ If 

Treasury proceeds with the expanded 

reporting requirement, the trade 

association suggested that Treasury 

should: 

• Incorporate an adjustment to the 

required reporting amount to reflect the 

probability that the particular security 

will be delivered (e.g., a delta 

adjustment for options) to ensure that 

the information reflects accurately the 

demand and supply for that particular 

security. 

• Clarify whether over-the-counter 

(OTC) options are to be considered 

within the scope of this expanded 

collection. Treasury should also provide 

additional guidance as to the use of 

published lists of cheapest-to-deliver 

securities provided by the futures 

exchanges or a vendor to determine 

which CUSIPs are deliverable for 

futures and options and the degree to 

which firms could limit the reportable 

positions to those CUSIPs that are 

within the top three cheapest-to-deliver. 

D. Worked Examples 

The trade association suggested it 

would be helpful to market participants 

to see the expected treatment of a 

hypothetical position that would 

include the new data elements. 

E. Transition 

The trade association requested that 

the final rule include an appropriate 

transition period before making the 

changes effective to allow firms 

sufficient time to implement the 

necessary tracking and reporting 

changes. 

IV. Section-by-Section Analysis of the 

Final Amendments 

Treasury has endeavored to strike a 

balance between achieving the purposes 

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73412 Federal Register / Vol. 79, No. 237 / Wednesday, December 10, 2014 / Rules and Regulations 

and objectives of the GSA’s LPR 

requirements and minimizing costs and 

burdens on reporting entities. We 

believe that these amendments continue 

to achieve this balance by improving the 

type of information collected through 

the Reports while simplifying the 

reporting process for many reporting 

entities. 

Treasury has carefully considered the 

comments we received. We have also 

consulted staff of the Securities and 

Exchange Commission, the Board of 

Governors of the Federal Reserve 

System, and the Federal Reserve Bank of 

New York in developing the final LPR 

rule amendments. We are adopting the 

amendments proposed in the NPR with 

nonsubstantive, technical modifications, 

including a clarification recommended 

by the commenter. 

A. Section 420.1—Applicability 

In the NPR, Treasury proposed to 

eliminate the exemptions for foreign 

central banks, foreign governments, and 

international monetary authorities and 

request that these entities as well as U.S. 

Federal Reserve Banks for their own 

account voluntarily submit Reports if 

they meet or exceed the reporting 

threshold(s). We did not receive any 

comments on this proposed amendment 

and, therefore, we are adopting it as 

proposed. 

B. Section 420.2—Definitions 

1. Control 

To avoid potential confusion 

regarding multiple entities reporting the 

same position in the specified Treasury 

security, we are modifying the 

definition of ‘‘control’’ by deleting the 

sentence that states only one entity 

should be considered to have 

investment discretion over a particular 

position. There may be situations, such 

as financing transactions, where more 

than one entity may include the same 

position in their calculation. 

2. Large Position Threshold 

Treasury proposed to replace the 

current $2 billion minimum reporting 

threshold with a minimum threshold 

that is 10 percent of the outstanding 

amount of the specified Treasury 

security. We did not receive any 

comments on this proposed amendment 

and, therefore, we are adopting it as 

proposed. 

We are also adding a sentence to the 

definition of large position threshold 

stating that the term also means the 

minimum number of futures, options on 

futures, and exchange-traded options 

contracts that a reporting entity controls 

for which the specified Treasury 

security is deliverable. This technical 

modification was made to provide for 

the reporting of the number of these 

contracts. 

3. Reporting Requirement 

Treasury proposed in the NPR to 

replace the concept of the reportable 

position with a reporting requirement 

that reporting entities file a Report if 

any one of seven criteria set out in the 

Report is met. Because Treasury is 

requiring that futures, options on 

futures, and exchange-traded options be 

reported separately from OTC options, 

criterion G has been split and an eighth 

criterion H was added. Under G, 

reporting entities will be required to 

submit a Report if the number of 

futures, options on futures, and 

exchange-traded options contracts 

controlled by the reporting entity is 

equal to or greater than the announced 

large position threshold. To provide 

more clarity on the reporting of options 

positions, criterion H will require that 

reporting entities submit a Report if 

their net position in OTC options 

contracts on which the security being 

reported is deliverable is equal to or 

greater than the announced large 

position threshold. Entities would 

report the notional amounts of contracts 

regardless of the option delta. 

4. Tri-Party Repurchase Agreements 

The proposed amendments also 

introduced the term ‘‘tri-party 

repurchase agreement shell.’’ In its 

comment letter the trade association 

indicated that the term ‘‘tri-party 

repurchase agreement shell’’ may not be 

clear to reporting entities and requested 

further guidance as to what positions 

are reportable under this item. Treasury 

is adopting the amendment with 

modifications to address the issue raised 

by the commenter. Treasury is replacing 

the term ‘‘tri-party repurchase 

agreement shell’’ with ‘‘tri-party 

repurchase agreements,’’ a more familiar 

and well understood term in the 

Treasury securities market. 

C. Section 420.3—Reporting 

1. Reporting Format 

In the NPR, Treasury proposed a 

revised format for an entity to report its 

positions and settlement obligations in 

the specified Treasury security at the 

opening and closing of Fedwire. The 

trade association acknowledged the 

informational benefits of comparing 

positions at two points in time and that 

Treasury would receive important 

information on a firm’s behavior and 

activity in the market over the course of 

a trading day. In its comment letter, 

however, the trade association stated its 

belief that the opening and closing of 

Fedwire as reporting times do not reflect 

actual, formal openings and closings of 

the Treasury and funding markets and 

would create significant operational 

burdens that could undermine the 

overall quality of the information 

Treasury ultimately receives. The 

commenter advocated reporting these 

positions as of the close of business on 

the report date and at the close of 

business on the day prior to the report 

date. The commenter asserted that these 

timeframes would be consistent with 

current practice and better reflect a 

firm’s position. As recommended by the 

commenter, we are replacing references 

in the NPR to the opening and closing 

of Fedwire with reporting as of the 

opening and close of business. We are 

also making technical modifications to 

§ 420.3 and appendix B to clarify the 

components to be included in the 

Report. 

2. Gross Reporting 

For transactions between different 

defined reporting entities, Treasury 

proposed a two-column format for 

positions to be reported on a gross basis 

in order to separate settlement 

‘‘obligations to receive’’ and 

‘‘obligations to deliver.’’ Aggregating 

entities that are part of the same 

reporting entity may net receive and 

deliver obligations resulting from 

intercompany transactions. We did not 

receive any comments on this proposed 

amendment and, therefore, we are 

adopting it as proposed. We are also 

modifying Part VII of the Report to 

require the reporting of the gross 

quantity of securities borrowed and the 

gross quantity of securities lent for 

delivery-versus-payment financing 

contracts. The modification was made to 

parallel the approach taken in other 

sections for reporting on a ‘‘gross’’ basis 

instead of ‘‘net’’ basis. 

3. Futures and Options Contracts 

Treasury proposed to expand the 

components of a position to also include 

futures, options on futures, and options 

contracts for which the specified 

Treasury security is deliverable. The 

trade association questioned this 

proposal citing Treasury’s rationale for 

excluding certain futures and options 

from the components of a reportable 

position in its 1996 final rule. While we 

continue to believe, as we did in 1996, 

that options and certain futures 

contracts do not provide the holder with 

either immediate control or an effective 

way to manipulate the price of a specific 

security, the proposed amendment was 

designed to provide Treasury with 

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25The Depository Trust & Clearing Corporation’s 

GCF Repo® service enables dealers to trade general 

collateral repos, based on rate, term, and underlying 

product, throughout the day without requiring 

intra-day, trade-for-trade settlement on a deliveryversus-payment basis. 

26 44 U.S.C. 3507(d). 

27The collections of information contained in the 

final amendments have been approved by the Office 

of Management and Budget under control number 

1535–0089. 

potentially important insight into a 

reporting entity’s strategy regarding the 

underlying security. 

The commenter requested that, if 

Treasury proceeds with the expanded 

reporting requirement for futures and 

options, Treasury provide an adjustment 

or additional guidance to reporting 

entities to limit reportable positions to 

those Treasury securities that are the 

most likely to be delivered against a 

futures or options contract. We believe 

that such adjustments will complicate 

the position calculation process and 

therefore we are including all futures, 

options on futures, and options 

contracts (both exchange-traded and 

OTC) for which the specified Treasury 

security is deliverable. In addition, we 

are modifying Part VIII to require the 

reporting of net positions in these 

contracts (both net long and net short 

positions) to parallel the approach taken 

in other sections of the Report. 

The trade association also requested 

that Treasury clarify whether OTC 

options will be within the scope of 

futures and options contracts that must 

be included in the large position 

reporting calculation. Treasury is 

making this clarification and including 

OTC options within the scope of the 

reporting requirement. 

4. Components of a Position 

With the exception of futures and 

options contracts and tri-party 

repurchase agreement shells, Treasury 

did not receive comments on any other 

components of a position. However, to 

provide more clarity on the reporting of 

repurchase agreement positions, we are 

adding a separate component for the 

reporting of collateral against 

borrowings of funds on general 

collateral finance repurchase 

agreements, including the Depository 

Trust & Clearing Corporation’s GCF 

Repo® service.25

5. Optional Administrative Information 

In the NPR, Treasury proposed an 

option for reporting entities to identify 

the type(s) of business engaged in by the 

reporting entity and its aggregating 

entities with respect to positions in the 

specified Treasury security by checking 

the appropriate box. Treasury also 

proposed an option for reporting entities 

to identify their overall investment 

strategy with respect to positions in the 

specified Treasury security by checking 

the appropriate box. We did not receive 

any comments on these administrative 

information options and, therefore, we 

are adopting them as proposed. 

D. Appendix B to Part 420—Sample 

Large Position Report 

The sample large position report in 

appendix B has been amended to 

conform to the changes in § 420.3(c) of 

the final reporting rules. 

V. Effective Date and LPR Workshops 

The trade association requested that 

the final rule include an appropriate 

transition period. Treasury is providing 

a 90-day delayed effective date from the 

date of publication in the Federal 

Register to allow reporting entities 

sufficient time to make necessary 

preparations for compliance. The trade 

association also suggested that examples 

of expected treatment of a hypothetical 

position would be helpful. Subsequent 

to the rules taking effect, Treasury will 

also conduct LPR workshops at FRBNY 

for market participants that may 

potentially control large positions in a 

particular Treasury security. 

VI. Paperwork Reduction Act 

The collections of information 

contained in the final amendments have 

been reviewed and approved by the 

Office of Management and Budget 

(OMB) pursuant to the Paperwork 

Reduction Act of 1995 (Act).26 Under 

the Act, an agency may not conduct or 

sponsor, and a person is not required to 

respond to, a collection of information 

unless it displays a valid OMB control 

number.27

The collection of information in these 

amendments is contained in § 420.3. 

The amendments require a reporting 

entity that meets any one of eight 

criteria to submit a Report to FRBNY. 

Although we cannot be certain of the 

number of entities that would be 

required to report their positions as a 

result of a call for such Reports, we 

believe few reporting entities would 

actually have to file Reports because the 

minimum reporting threshold remains 

high. In fact, the actual reporting 

threshold(s) in a specific call for large 

position reports may exceed the 

minimum reporting threshold. 

Moreover, we expect that our requests 

for information will continue to be 

infrequent. 

Treasury does not believe that 

reporting entities will find reporting the 

additional position information overly 

burdensome because this approach may 

align more closely with the way many 

reporting entities typically maintain 

their records. In addition, reporting 

entities must collect much of this 

information to calculate their reportable 

position under the current LPR rules. 

Because the amendments require more 

detailed information to be provided by 

entities that file reports, we increased 

the annual reporting burden in our 

submission to OMB by 104 hours, 

representing an increase from eight 

hours to ten hours per reporting entity 

and an increase from 12 to 20 reporting 

entities. 

The collection of information is 

intended to enable Treasury and other 

regulators to better understand supply 

and demand dynamics in certain 

Treasury securities. Such information 

allows Treasury to monitor the impact 

of concentrations of positions in the 

Treasury securities market. This 

information will help the Treasury 

securities market remain liquid and 

efficient and facilitate government 

borrowing at the lowest possible cost to 

taxpayers. 

Estimated total annual reporting 

burden: 200 hours. 

Estimated annual number of 

respondents: 20. 

Estimated annual frequency of 

response: 1. 

Comments on the accuracy of the 

estimate for this collection of 

information or suggestions to reduce the 

burden should be sent to the Office of 

Information and Regulatory Affairs, 

Office of Management and Budget, 

Attention: Desk Officer for Department 

of the Treasury, Washington, DC, 20503; 

and to the Government Securities 

Regulations Staff, Department of the 

Treasury, Bureau of the Fiscal Service, 

401 14th Street SW., Washington, DC 

20227. 

VII. Special Analysis 

Executive Orders 13563 and 12866 

direct agencies to assess costs and 

benefits of available regulatory 

alternatives and, if regulation is 

necessary, to select regulatory 

approaches that maximize net benefits 

(including potential economic, 

environmental, public health and safety 

effects, distributive impacts, and 

equity). Executive Order 13563 

emphasizes the importance of 

quantifying both costs and benefits, of 

reducing costs, of harmonizing rules, 

and of promoting flexibility. 

These amendments reflect Treasury’s 

continuing interest in meeting its 

informational needs while minimizing 

the cost and burden on those entities 

affected by the regulations. The 

amendments retain the on-demand 

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73414 Federal Register / Vol. 79, No. 237 / Wednesday, December 10, 2014 / Rules and Regulations 

reporting system, adopted in 1996, 

which is less burdensome than a regular 

reporting system. Based on the limited 

impact of these amendments, it is our 

view that this final rule is not a 

‘‘significant regulatory action’’ for the 

purposes of Executive Order 12866. 

In addition, we certify under the 

Regulatory Flexibility Act (5 U.S.C. 601, 

et seq.) that the amendments to the 

current regulations will not have a 

significant economic impact on a 

substantial number of small entities. We 

believe that small entities will not 

control positions of 10 percent or greater 

of the amount outstanding in any 

particular Treasury security. The 

inapplicability of the amendments to 

small entities indicates there is no 

significant impact. As a result, a 

regulatory flexibility analysis is not 

required. 

Even though this rule qualifies as a 

procedural rule for purposes of 5 U.S.C. 

553(b)(A), we published a proposed rule 

for public comment. 

List of Subjects in 17 CFR Part 420 

Banks, banking, Brokers, Government 

securities, Reporting and recordkeeping 

requirements. 

For the reasons stated in the 

preamble, 17 CFR part 420 is revised to 

read as follows: 

PART 420—LARGE POSITION 

REPORTING 

Sec. 

420.1 Applicability. 

420.2 Definitions. 

420.3 Reporting. 

420.4 Recordkeeping. 

420.5 Applicability date. 

Appendix A to Part 420—Separate Reporting 

Entity 

Appendix B to Part 420—Sample Large 

Position Report 

Authority: 15 U.S.C. 78o–5(f). 

§ 420.1 Applicability. 

(a) This part is applicable to all 

persons that participate in the 

government securities market, 

including, but not limited to: 

Government securities brokers and 

dealers, depository institutions that 

exercise investment discretion, 

registered investment companies, 

registered investment advisers, pension 

funds, hedge funds, and insurance 

companies that may control a position 

in a recently-issued marketable Treasury 

bill, note, or bond as those terms are 

defined in § 420.2. 

(b) Notwithstanding paragraph (a) of 

this section, Treasury requests that 

central banks (including U.S. Federal 

Reserve Banks for their own account), 

foreign governments, and international 

monetary authorities voluntarily submit 

large position reports when they meet or 

exceed a reporting threshold. 

§ 420.2 Definitions. 

For the purposes of this part: 

Aggregating entity means a single 

entity (e.g., a parent company, affiliate, 

or organizational component) that is 

combined with other entities, as 

specified in the definition of ‘‘reporting 

entity’’ of this section, to form a 

reporting entity. In those cases where an 

entity has no affiliates, the aggregating 

entity is the same as the reporting 

entity. 

Control means having the authority to 

exercise investment discretion over the 

purchase, sale, retention, or financing of 

specific Treasury securities. 

Large position threshold means the 

minimum dollar par amount of the 

specified Treasury security that a 

reporting entity must control in order 

for the entity to be required to submit 

a large position report. It also means the 

minimum number of futures, options on 

futures, and exchange-traded options 

contracts for which the specified 

Treasury security is deliverable that the 

reporting entity must control in order 

for the entity to be required to submit 

a large position report. Treasury will 

announce the large position thresholds, 

which may vary with each notice of 

request to report large position 

information and with each specified 

Treasury security. Treasury may 

announce different thresholds for 

certain reporting criteria. Under no 

circumstances will a large position 

threshold be less than 10 percent of the 

amount outstanding of the specified 

Treasury security. 

Recently-issued means: 

(1) With respect to Treasury securities 

that are issued quarterly or more 

frequently, the three most recent issues 

of the security. 

(2) With respect to Treasury securities 

that are issued less frequently than 

quarterly, the two most recent issues of 

the security. 

(3) With respect to a reopened 

security, the entire issue of a reopened 

security (older and newer portions) 

based on the date the new portion of the 

reopened security is issued by Treasury 

(or for when-issued securities, the 

scheduled issue date). 

(4) For all Treasury securities, a 

security announced to be issued or 

auctioned but unissued (when-issued), 

starting from the date of the issuance 

announcement. The most recent issue of 

the security is the one most recently 

announced. 

(5) Treasury security issues other than 

those specified in paragraphs (1) and (2) 

of this definition, provided that such 

large position information is necessary 

and appropriate for monitoring the 

impact of concentrations of positions in 

Treasury securities. 

Reporting entity means any 

corporation, partnership, person, or 

other entity and its affiliates, as further 

provided herein. For the purposes of 

this definition, an affiliate is any: Entity 

that is more than 50% owned, directly 

or indirectly, by the aggregating entity 

or by any other affiliate of the 

aggregating entity; person or entity that 

owns, directly or indirectly, more than 

50% of the aggregating entity; person or 

entity that owns, directly or indirectly, 

more than 50% of any other affiliate of 

the aggregating entity; or entity, a 

majority of whose board of directors or 

a majority of whose general partners are 

directors or officers of the aggregating 

entity or any affiliate of the aggregating 

entity. 

(1) Subject to the conditions 

prescribed in appendix A to this part, 

one aggregating entity, or a combination 

of aggregating entities, may be 

recognized as a separate reporting 

entity. 

(2) Notwithstanding this definition, 

any persons or entities that intentionally 

act together with respect to the investing 

in, retention of, or financing of Treasury 

securities are considered, collectively, 

to be one reporting entity. 

Reporting requirement means that an 

entity must file a large position report 

when it meets any one of eight criteria 

contained in appendix B to this part. 

§ 420.3 Reporting. 

(a) A reporting entity must file a large 

position report if it meets the reporting 

requirement as defined in § 420.2. 

Treasury will provide notice of the large 

position thresholds by issuing a press 

release and subsequently publishing the 

notice in the Federal Register. Such 

notice will identify the Treasury 

security issue(s) to be reported 

(including, where applicable, 

identifying the related STRIPS principal 

component); the date or dates for which 

the large position information must be 

reported; and the large position 

thresholds for that issue. A reporting 

entity is responsible for taking 

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 Treasury and for maintaining 

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the additional records prescribed in 

§ 420.4. 

(c)(1) In response to a notice issued 

under paragraph (a) of this section 

requesting large position information, a 

reporting entity that controls an amount 

of the specified Treasury security that 

equals or exceeds one of the specified 

large position thresholds stated in the 

notice shall compile and report the 

amounts of the reporting entity’s 

positions in the order specified, as 

follows: 

(i) Part I. Positions in the Security 

Being Reported as of the Opening of 

Business on the Report Date, including 

positions: 

(A) In book-entry accounts of the 

reporting entity; 

(B) As collateral against borrowings of 

funds on general collateral finance 

repurchase agreements; 

(C) As collateral against borrowings of 

funds on tri-party repurchase 

agreements; 

(D) As collateral or margin to secure 

other contractual obligations of the 

reporting entity; and 

(E) Otherwise available to the 

reporting entity. 

(ii) Part II. Settlement Obligations 

Attributable to Outright Purchase and 

Sale Contracts Negotiated Prior to or on 

the Report Date (excluding settlement 

fails), including: 

(A) Obligations to receive or deliver, 

on the report date, the security being 

reported attributable to contracts for 

cash settlement (T+0); 

(B) Obligations to receive or deliver, 

on the report date, the security being 

reported attributable to contracts for 

regular settlement (T+1); 

(C) Obligations to receive or deliver, 

on the report date, the security being 

reported attributable to contracts, 

including when-issued contracts, for 

forward settlement (T+n, n>1); 

(D) Obligations to receive, on the 

report date, the security being reported 

attributable to Treasury auction awards; 

and 

(E) Obligations to receive or deliver, 

on the report date, principal STRIPS 

derived from the security being reported 

attributable to contracts for cash 

settlement, regular settlement, whenissued settlement, and forward 

settlement. 

(iii) Part III. Settlement Obligations 

Attributable to Delivery-versus-Payment 

Financing Contracts (including 

repurchase agreements and securities 

lending agreements) Negotiated Prior to 

or on the Report Date (excluding 

settlement fails), including: 

(A) Obligations to receive or deliver, 

on the report date, the security being 

reported, and principal STRIPS derived 

from the security being reported, 

attributable to overnight agreements; 

(B) Obligations to receive or deliver, 

on the report date, the security being 

reported, and principal STRIPS derived 

from the security being reported, 

attributable to term agreements due to 

open on, or due to close on, the report 

date; and 

(C) Obligations to receive or deliver, 

on the report date, the security being 

reported, and principal STRIPS derived 

from the security being reported, 

attributable to open agreements due to 

open on, or due to close on, the report 

date. 

(iv) Part IV. Settlement Fails from 

Days Prior to the Report Date (Legacy 

Obligations), including obligations to 

receive or deliver, on the report date, 

the security being reported, and 

principal STRIPS derived from the 

security being reported, arising out of 

settlement fails on days prior to the 

report date. 

(v) Part V. Settlement Fails as of the 

Close of Business on the Report Date, 

including obligations to receive or 

deliver, on the business day following 

the report date, the security being 

reported, and principal STRIPS derived 

from the security being reported, arising 

out of settlement fails on the report date. 

(vi) Part VI. Positions in the Security 

Being Reported as of the Close of 

Business on the Report Date, including 

positions: 

(A) In book-entry accounts of the 

reporting entity; 

(B) As collateral against borrowings of 

funds on general collateral finance 

repurchase agreements; 

(C) As collateral against borrowings of 

funds on tri-party repurchase 

agreements; 

(D) As collateral or margin to secure 

other contractual obligations of the 

reporting entity; and 

(E) Otherwise available to the 

reporting entity. 

(vii) Part VII. Quantity of Continuing 

Delivery-versus-Payment Financing 

Contracts for the Security Being 

Reported, including the gross amount of 

security being reported borrowed or lent 

out on term delivery-versus-payment 

repurchase agreements opened before 

the report date and not due to close 

until after the report date, and on open 

delivery-versus-payment repurchase 

agreements opened before the report 

date and not closed on the report date. 

(viii) Part VIII. Futures and Options 

Contracts, including: 

(A)(1) Net position, as of the close of 

market on the business day prior to the 

report date, in futures, options on 

futures, and exchange-traded options 

contracts on which the security being 

reported is deliverable (report number 

of contracts); and 

(2) Net position, as of the close of 

market on the report date, in futures, 

options on futures, and exchange-traded 

options contracts on which the security 

being reported is deliverable (report 

number of contracts). 

(B)(1) Net position, as of the close of 

market on the business day prior to the 

report date, in over-the-counter options 

contracts on which the security being 

reported is deliverable (report notional 

amount of contracts regardless of option 

delta); and 

(2) Net position, as of the close of 

market on the report date, in over-thecounter options contracts on which the 

security being reported is deliverable 

(report notional amount of contracts 

regardless of option delta). 

(d) An illustration of a sample report 

is contained in appendix B of this part. 

(e) Each of the components of Part I– 

Part VIII of paragraph (c)(1) of this 

section shall be reported as a positive 

number or zero. All reportable amounts 

should be reported in the order 

specified above and at par in millions of 

dollars, except futures, options on 

futures, and exchange-traded options 

contracts, which should be reported as 

the number of contracts. Over-thecounter options contracts should be 

reported as the notional dollar amount 

of contracts regardless of option delta. 

(f) Each submitted large position 

report must include the following 

administrative information: Name of the 

reporting entity; address of the principal 

place of business; 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; name 

and telephone number of the person to 

contact regarding information reported; 

and name and position of the authorized 

individual submitting this report. 

(1) Reporting entities have the option 

to identify the type(s) of business 

engaged in by the reporting entity and 

its aggregating entities with positions in 

the specified Treasury security by 

checking the appropriate box. The types 

of businesses include: Broker or dealer, 

government securities broker or dealer, 

municipal securities broker or dealer, 

futures commission merchant, bank 

holding company, non-bank holding 

company, bank, investment adviser, 

commodity pool operator, pension 

trustee, non-pension trustee, and 

insurance company. Reporting entities 

may select as many business types as 

applicable. If the reporting entity is 

engaged in a business that is not listed, 

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it could select ‘‘other’’ and provide a 

description of its business with respect 

to positions in the specified Treasury 

security. 

(2) Reporting entities also have the 

option to identify their overall 

investment strategy with respect to 

positions in the specified Treasury 

security by checking the appropriate 

box. Active investment strategies 

include those that involve purchasing, 

selling, borrowing, lending, and 

financing positions in the security prior 

to maturity. Passive investment 

strategies include those that involve 

holding the security until maturity. A 

combination of active and passive 

strategies would involve applying the 

aforementioned active and passive 

strategies to all or a portion of a 

reporting entity’s positions in the 

specified Treasury security. Reporting 

entities may select the most applicable 

investment strategy. 

(g) 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 of the 

designated filing entity. 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 that: (i) The 

information contained in this report with 

regard to any other aggregating entities is 

accurate and complete; and (ii) the reporting 

entity, including all aggregating entities, is in 

compliance with the requirements of 17 CFR 

part 420. 

(h) The report must be filed before 

noon Eastern Time on the fourth 

business day following issuance of the 

press release. 

(i) 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. The 

report may be filed by facsimile or 

delivered hard copy. The Federal 

Reserve Bank of New York may in its 

discretion also authorize other means of 

reporting. 

(j) A reporting entity that has filed a 

report pursuant to paragraph (c) of this 

section shall, at the request of Treasury 

or the Federal Reserve Bank 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) 

§ 420.4 Recordkeeping. 

(a) Recordkeeping responsibility of 

aggregating entities. Notwithstanding 

the provisions of paragraphs (b) and (c) 

of this section, an aggregating entity that 

controls a portion of its reporting 

entity’s position in a recently-issued 

Treasury security, when such position 

of the reporting entity equals or exceeds 

$2 billion, shall be responsible for 

making and maintaining the records 

prescribed in this section. 

(b) Records to be made and preserved 

by entities that are subject to the 

recordkeeping provisions of the SEC, 

Treasury, or the appropriate regulatory 

agencies for financial institutions. As an 

aggregating entity, compliance by a 

registered broker or dealer, registered 

government securities broker or dealer, 

noticed financial institution, depository 

institution that exercises investment 

discretion, registered investment 

adviser, or registered investment 

company with the applicable 

recordkeeping provisions of the SEC, 

Treasury, or the appropriate regulatory 

agencies for financial institutions shall 

constitute compliance with this section, 

provided that, if such entity is also the 

designated filing entity, it: 

(1) Makes and keeps copies of all large 

position reports filed pursuant to this 

part; 

(2) Makes and keeps supporting 

documents or schedules used to 

compute data for the large position 

reports filed pursuant to this part, 

including any certifications or 

schedules it receives from aggregating 

entities pertaining to their holdings of 

the reporting entity’s position; 

(3) Makes and keeps a chart showing 

the organizational entities that are 

aggregated (if applicable) in determining 

the reporting entity’s position; and 

(4) With respect to recordkeeping 

preservation requirements that contain 

more than one retention period, 

preserves records required by 

paragraphs (b)(1) through (3) of this 

section for the longest record retention 

period of applicable recordkeeping 

provisions. 

(c) Records to be made and preserved 

by other entities. (1) An aggregating 

entity that is not subject to the 

provisions of paragraph (b) of this 

section shall make and preserve a 

journal, blotter, or other record of 

original entry containing an itemized 

record of all transactions that contribute 

to a reporting entity’s position, 

including information showing the 

account for which such transactions 

were effected and the following 

information pertaining to the 

identification of each instrument: The 

type of security, the par amount, the 

CUSIP number, the trade date, the 

maturity date, the type of transaction 

(e.g., a reverse repurchase agreement), 

and the name or other designation of the 

person from whom sold or purchased. 

(2) If such aggregating entity is also 

the designated filing entity, then in 

addition it shall make and preserve the 

following records: 

(i) Copies of all large position reports 

filed pursuant to this part; 

(ii) Supporting documents or 

schedules used to compute data for the 

large position reports filed pursuant to 

this part, including any certifications or 

schedules it receives from aggregating 

entities pertaining to their holdings of 

the reporting entity’s position; and 

(iii) A chart showing the 

organizational entities that are 

aggregated (if applicable) in determining 

the reporting entity’s position. 

(3) With respect to the records 

required by paragraphs (c)(1) and (2) of 

this section, each such aggregating 

entity shall preserve such records for a 

period of not less than six years, the first 

two years in an easily accessible place. 

If an aggregating entity maintains its 

records at a location other than its 

principal place of business, the 

aggregating entity must maintain an 

index that states the location of the 

records, and such index must be easily 

accessible at all times. 

(Approved by the Office of Management 

and Budget under control number 1535– 

0089) 

§ 420.5 Applicability date. 

The provisions of this part shall be 

first applicable beginning March 31, 

1997. 

Appendix A to Part 420—Separate 

Reporting Entity 

Subject to the following conditions, one or 

more aggregating entity(ies) (e.g., parent, 

subsidiary, or organizational component) in a 

reporting entity, either separately or together 

with one or more other aggregating 

entity(ies), may be recognized as a separate 

reporting entity. All of the following 

conditions must be met for such entity(ies) to 

qualify for recognition as a separate reporting 

entity: 

(1) Such entity(ies) must be prohibited by 

law or regulation from exchanging, or must 

have established written internal procedures 

designed to prevent the exchange of 

information related to transactions in 

Treasury securities with any other 

aggregating entity; 

(2) Such entity(ies) must not be created for 

the purpose of circumventing these large 

position reporting rules; 

(3) Decisions related to the purchase, sale 

or retention of Treasury securities must be 

made by employees of such entity(ies). 

Employees of such entity(ies) who make 

decisions to purchase or dispose of Treasury 

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Federal Register / Vol. 79, No. 237 / Wednesday, December 10, 2014 / Rules and Regulations 73417 

securities must not perform the same 

function for other aggregating entities; and 

(4) The records of such entity(ies) related 

to the ownership, financing, purchase and 

sale of Treasury securities must be 

maintained by such entity(ies). Those records 

must be identifiable—separate and apart from 

similar records for other aggregating entities. 

To obtain recognition as a separate 

reporting entity, each aggregating entity or 

group of aggregating entities must request 

such recognition from Treasury pursuant to 

the procedures outlined in § 400.2(c) of this 

chapter. Such request must provide a 

description of the entity or group and its 

position within the reporting entity, and 

provide the following certification: 

[Name of the entity(ies)] hereby certifies 

that to the best of its knowledge and belief 

it meets the conditions for a separate 

reporting entity as described in appendix A 

to 17 CFR part 420. The above named entity 

also certifies that it has established written 

policies or procedures, including ongoing 

compliance monitoring processes, that are 

designed to prevent the entity or group of 

entities from: 

(1) Exchanging any of the following 

information with any other aggregating entity 

(a) positions that it holds or plans to trade 

in a Treasury security; (b) investment 

strategies that it plans to follow regarding 

Treasury securities; and (c) financing 

strategies that it plans to follow regarding 

Treasury securities, or 

(2) In any way intentionally acting together 

with any other aggregating entity with 

respect to the purchase, sale, retention or 

financing of Treasury securities. 

The above-named entity agrees that it will 

promptly notify Treasury in writing when 

any of the information provided to obtain 

separate reporting entity status changes or 

when this certification is no longer valid. 

Any entity, including any organizational 

component thereof, that previously has 

received recognition as a separate bidder in 

Treasury auctions from Treasury pursuant to 

31 CFR part 356 is also recognized as a 

separate reporting entity without the need to 

request such status, provided such entity 

continues to be in compliance with the 

conditions set forth in appendix A to 31 CFR 

part 356. 

Appendix B to Part 420—Sample Large 

Position Report 

Formula for Determining Whether To 

Submit a Large Position Report 

(Report all components as a positive number 

or zero in millions of dollars at par value) 

BILLING CODE 4810–39–P 

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Part I. Positions in the Security Being Reported as of the Opening of Business on the Report Date 

1. In book-entry accounts ofthe reporting entity 

2. As collateral against borrowings of funds on general collateral finance repurchase agreements 

3. As collateral against borrowings of funds on tri-party repurchase agreements 

4. As collateral or margin to secure other contractual obligations of the reporting entity 

5. Otherwise available to the reporting entity 

Part II. Settlement Obligations Attributable to Outright Purchase and Sale Contracts 

Negotiated Prior to or on the Report Date (excluding settlement fails) 

6. Obligations to receive or deliver, on the report date, the security being reported attributable to 

contracts for cash settlement (T +0) 

7. Obligations to receive or deliver, on the report date, the security being reported attributable to 

contracts for regular settlement (T + 1) 

8. Obligations to receive or deliver, on the report date, the security being reported attributable to 

contracts, including when-issued contracts, for forward settlement (T +n, n> 1) 

Colu

Qu

Oblig

to R

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9. Obligations to receive, on the report date, the security being reported attributable to Treasury 

auction awards 

10. Obligations to receive or deliver, on the report date, principal STRIPS derived from the 

security being reported attributable to contracts for cash settlement, regular settlement, whenissued settlement, and forward settlement 

Part III. Settlement Obligations Attributable to Delivery-versus-Payment Financing 

Contracts (including repurchase agreements and securities lending agreements) Negotiated 

Prior to or on the Report Date (excluding settlement fails) 

11. Obligations to receive or deliver, on the report date, the security being reported, and principal 

STRIPS derived from the security being reported, attributable to overnight agreements 

12. Obligations to receive or deliver, on the report date, the security being reported, and principal 

STRIPS derived from the security being reported, attributable to term agreements due to 

open on, or due to close on, the report date 

13. Obligations to receive or deliver, on the report date, the security being reported, and principal 

STRIPS derived from the security being reported, attributable to open agreements due to 

open on, or due to close on, the report date 

Part IV. Settlement Fails from Days Prior to the Report Date (Legacy Obligations) 

14. Obligations to receive or deliver, on the report date, the security being reported, and principal 

STRIPS derived from the security being reported, arising out of settlement fails on days prior 

to the report date 

Oblig

to R

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Part V. Settlement Fails as of the Close of Business on the Report Date 

15. Obligations to receive or deliver, on the business day following the report date, the security 

being reported, and principal STRIPS derived from the security being reported, arising out of 

settlement fails on the report date 

Part VI. Positions in the Security Being Reported as of the Close of Business on the Report 

Date 

16. In book-entry accounts ofthe reporting entity 

17. As collateral against borrowings of funds on general collateral finance repurchase agreements 

18. As collateral against borrowings of funds on tri-party repurchase agreements 

19. As collateral or margin to secure other contractual obligations of the reporting entity 

20. Otherwise available to the reporting entity 

Part VII. Quantity of Continuing Delivery-versus-Payment Financing Contracts for the 

Security Being Reported 

21. Gross amount of security being reported borrowed or lent out on term delivery-versuspayment repurchase agreements opened before the report date and not due to close until after 

the report date, and on open delivery-versus-payment repurchase agreements opened before the report date and not closed on the report date 

Qu

Qu

Borr

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Part VIII. Futures and Options Contracts 

22. a) Net position, as of the close of market on the business day prior to the report date, in 

futures, options on futures, and exchange-traded options contracts on which the security 

being reported is deliverable (report number of contracts) 

b) Net position, as of the close of market on the report date, in futures, options on futures, 

and exchange-traded options contracts on which the security being reported is deliverable 

(report number of contracts) 

23. a) Net position, as of the close of market on the business day prior to the report date, in overthe-counter options contracts on which the security being reported is deliverable (report 

notional amount of contracts regardless of option delta) 

b) Net position, as of the close of market on the report date, in over-the-counter options 

contracts on which the security being reported is deliverable (report notional amount of 

contracts regardless of option delta) 

A reporting entity must submit a large position report if it meets any one of the following criteria: 

Qu

if Net 

[ ] A. If the sum of column A in lines 1 through 5 and the gross amount lent in line 21 is greater than or e

large position threshold. 

[ ] B. If the sum of column A in lines 16 through 20 and the gross amount lent in line 21 is greater than or 

large position threshold. 

[ ] C. If the sum of column A in lines 6 through 14 is greater than or equal to the announced large position 

[ ] D. If the sum of column Bin lines 6 through 14 is greater than or equal to the announced large position 

[ ] E. If column A in line 15 is greater than or equal to the announced large position threshold. 

[ ] F. If column B in line 15 is greater than or equal to the announced large position threshold. 

[ ] G. If line 22(a) or line 22(b) is greater than or equal to the announced futures, options on futures and ex

contract threshold. 

[ ] H. Ifline 23(a) or line 23(b) is greater than or equal to the announced large position threshold. 

Please specify which of the above criteria triggered the reporting requirement (check all that apply). 

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Administrative Information to be Provided in the Report 

• N arne of Reporting Entity: • Date or Dates for which Inform

• Address of Principal Place of Business: • Date Report Submitted: 

• Name and Address of the Designated Filing Entity: • Name and Telephone Number • Treasury Security Reported on: Regarding Information Report

• CUSIP Number: 

Name and Position of Authorized Individual Submitting this Report (Chief Compliance Officer; ChiefLegal 

Officer; Chief Operating Officer; ChiefExecutive Officer; or Managing Partner or Equivalent of the Designa

Authorized to Sign Such Report on Behalf of the Entity): 

(Optional) Identify the business( es) engaged in by the reporting entity and any of its aggregating entities with 

specified Treasury security (check all that apply). 

[ ] A. Broker or Dealer 

[ ] B. Government Securities Broker or 

Dealer 

[ ] C. Municipal Securities Broker or 

Dealer 

[]D. Futures Commission Merchant 

[ ] E. Bank Holding Company 

[]F. Non-Bank Holding Company []G. Bank 

[ ] H. Investment Adviser 

[ ] I. Commodity Pool Operator 

[] J. Pension T[] K. Non-Pen

[ ] L. Insurance [ ] M. Other (sp

(Optional) Do you consider the reporting entity's overall investment strategy with respect to the specified Tr

[ ] Active [ ] Passive [ ] Combination of Active and Passive 
BILLING CODE 4810–39–C 

[FR Doc. 2014–28734 Filed 12–9–14; 8:45 am] 

Acting Under Secretary for Domestic Finance. 

Matthew S. Rutherford, 


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Statement of Certification: "By signing below, I certify that the information contained in this report with re

filing entity is accurate and complete. Further, after reasonable inquiry and to the best of my knowledge an

the information contained in this report with regard to any other aggregating entities is accurate and compl

entity, including all aggregating entities, is in compliance with the requirements of 17 CFR Part 420." 

Signature of Authorized Person: