31 C.F.R. § 356.13 When must I report my net long position and how do I calculate it?
Title 31 - Money and Finance: Treasury
(a) Net long position reporting threshold. (1) If you are bidding competitively in an auction, you must report your net long position when the total of your bids plus your net long position in the security being auctioned equals or exceeds the net long position reporting threshold (See table.). We will specify this threshold in the auction announcement for each security (See §356.10.). The threshold is typically 35 percent of the offering amount, but we may state a different threshold in the auction announcement. To see whether you must report your net long position, follow this table: (2) Also, if you have more than one bid in an auction and you must report either your net long position or a zero, you must report that figure only once. Finally, if you are a customer and must report either your net long position or a zero, you must report that figure through only one depository institution or dealer. (See §356.14(d).) (b) “As of” time for calculating net long position. You must calculate your net long position as of one half-hour prior to the closing time for receipt of competitive bids. (c) Components of the net long position. Except as modified in paragragh (d) of this section, your net long position is the sum total of the par amounts of: (1) Your holdings of outstanding securities with the same CUSIP number as the security being auctioned; (2) Your holdings of STRIPS principal components of the security being auctioned, and; (3) Your positions, in the security being auctioned, in: (i) When-issued trading, including when-issued trading positions of the STRIPS principal components; (ii) Futures contracts that require delivery of the specific security being auctioned (but not futures contracts for which the security being auctioned is one of several securities that may be delivered, and not futures contracts that are cash-settled); and (iii) Forward contracts that require delivery of the specific security being auctioned or of the STRIPS principal component of that security. (d) Calculating the net long position in a reopening. In a reopening (additional issue) of an outstanding security, you may subtract the exclusion amount stated in the auction announcement from: (1) Your holdings of the outstanding securities (paragraph (c)(1) of this section) combined with (2) Your holdings of STRIPS principal components of the security being auctioned (paragraph (c)(2) of this section). We will specify the amount of holdings that you may exclude from the net long position calculation in the auction announcement. You may not take the exclusion if your combined holdings are zero or less. The exclusion is optional, but if you take the exclusion, you must include any holdings that exceed the exclusion amount in calculating your net long position. If the exclusion amount is greater than your combined holdings (paragraphs (c)(1) and (2) of this section), you may calculate the combined holdings as zero, but they cannot be included in the calculation as a negative number.
Title 31: Money and Finance: Treasury
PART 356—SALE AND ISSUE OF MARKETABLE BOOK-ENTRY TREASURY BILLS, NOTES, AND BONDS (DEPARTMENT OF THE TREASURY CIRCULAR, PUBLIC DEBT SERIES NO. 1–93)
Subpart B—Bidding, Certifications, and Payment
§ 356.13 When must I report my net long position and how do I calculate it?
------------------------------------------------------------------------ If . . . And if . . . Then . . .------------------------------------------------------------------------(i) the total of your bids you must report your and your net long position net long position in the security being (which does not auctioned equals or exceeds include your bids). the reporting threshold.(ii) the total of your bids you have no position you must report a in the auction equals or or a net short zero. exceeds the reporting position in the threshold. security being auctioned.(iii) the total of your bids you may either and your net long position report nothing in the security being (leave the field auctioned is less than the blank) or report reporting threshold. your net long position.------------------------------------------------------------------------
