Being honest is probably the best thing to do, but if you read the article posted by almostfree, you will see that the origin of these inquiries seem to be guns found in Mexico that were used in a crime. They then traced those guns back to the US, and then to the OP.
So, maybe they were investigating the 'dealer', but more realistically they were investigating the gun itself and all of its previous owners, including the OP. So, I think you also need to be careful, because they were surely suspect of the OP. The OP having all of the documentation is a good thing, and is a good lesson for all of us.
Their pitch was that they were investigating a dealer. They could have also said, "A gun that you bought in 2006 was used in a crime in Mexico. What did you do with that gun?" That statement probably closer reflects the truth, and has a different connotation.
So, maybe they were investigating the 'dealer', but more realistically they were investigating the gun itself and all of its previous owners, including the OP. So, I think you also need to be careful, because they were surely suspect of the OP. The OP having all of the documentation is a good thing, and is a good lesson for all of us.
Their pitch was that they were investigating a dealer. They could have also said, "A gun that you bought in 2006 was used in a crime in Mexico. What did you do with that gun?" That statement probably closer reflects the truth, and has a different connotation.