[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: 17CFR420.2]

[Page 1014-1015]
 
              TITLE 17--COMMODITY AND SECURITIES EXCHANGES
 
                 CHAPTER IV--DEPARTMENT OF THE TREASURY
 
PART 420_LARGE POSITION REPORTING--Table of Contents
 
Sec.  420.2  Definitions.

    For the purposes of this part:
    (a) ``Aggregating entity'' means a single entity (e.g., a parent 
company, affiliate, or organizational component) that is combined with 
other entities, as specified in paragraph (i) 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.
    (b) ``Control'' means having the authority to exercise investment 
discretion over the purchase, sale, retention or financing of specific 
Treasury securities. Only one entity should be considered to have 
investment discretion over a particular position.
    (c) ``Gross financing position'' is the sum of the gross par amounts 
of a security issue received from financing transactions, including 
reverse repurchase agreement transactions, bonds borrowed, and as 
collateral for financial derivatives and other securities transactions 
(e.g., margin loans). In calculating the gross financing position, a 
reporting entity may not net its positions against repurchase agreement 
transactions, securities loaned, or securities pledged as collateral for 
financial derivatives and other securities transactions.
    (d) ``Large position threshold'' means, with respect to a reportable 
position, the dollar par amount such position must equal or exceed in 
order for a reporting entity to be required to submit a large position 
report. The large position threshold will be announced by the Department 
and may vary with each notice of request to report large position 
information and with each specified Treasury security. However, under no 
circumstances will a large position threshold be less than $2 billion.
    (e) ``Net fails position'' is the net par amount of ``fails to 
receive'' less ``fails to deliver'' in the same security. The net fails 
position, as reported, may not be less than zero.
    (f) ``Net trading position'' is the net sum of the following 
respective positions in the specific security issue:
    (1) Cash/immediate net settled positions;
    (2) Net when-issued positions;
    (3) Net forward positions, including next-day settling;
    (4) Net futures contract positions that require delivery of the 
specific security; and
    (5) Net holdings of STRIPS principal components of the security.
    (g) ``Recently-issued'' means:
    (1) With respect to Treasury securities that are issued quarterly or 
more frequently, the three most recent issues of the security (e.g., in 
early April, the January, February, and March 2-year notes).
    (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 the Department (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

[[Page 1015]]

(g)(1) and (2) of this section, provided that such large position 
information is necessary and appropriate for monitoring the impact of 
concentrations of positions in Treasury securities.
    (h) ``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.
    (i) ``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, one or more 
aggregating entities, either separately or together with one or more 
other 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.

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