Report of Selected Money Market Rates (Significant banking organizations)

Board of Governors of the Federal Reserve System

Instructions for Preparation of

The Report of Selected Money Markets Rates

Reporting Form FR 2420
Effective April 1, 2014

INSTRUCTIONS FOR PREPARATION OF

Report of Selected Money Markets
Rates
FR 2420

GENERAL INSTRUCTIONS
The FR 2420 report collects detailed data on banking
institutions’ daily transactions in selected money market
instruments. Daily transactions are transactions executed
on the report date, not outstanding close of business on
the report date. The report has three parts. Part A collects
data on domestic federal funds purchased. Part B collects
data on Eurodollar liabilities. Part C collects data on
certificates of deposit issued by domestic offices. These
data will include for each transaction: the dollar amount,
the maturity, the interest rate, and other associated information.

Purpose
The FR 2420 is used to monitor market activity in
selected money market instruments.

meets the threshold to report based on the September 30
regulatory report filing, the banking organization must
begin to report the FR 2420 effective January 1 of the
following year. If a banking organization that reports on
the FR 2420 falls below the threshold based on the
September 30 regulatory report filing, the banking organization must continue to report until the December 31
report date.

Where to Submit Reports
All respondents must submit their completed report using
the Federal Reserve System’s Reporting Central system.
The Federal Reserve Bank of New York (FRBNY) will
provide technical assistance to any respondent requiring
guidance in creating files for submission via Reporting
Central. See: http://www.frbservices.org/centralbank/
reportingcentral/resource_center.html for additional information on the Reporting Central system.

Reporting Criteria

When to Submit Reports

The following banking organizations must file the
FR 2420 daily:

Respondents must file the FR 2420 for each business day
as follows:

a. Every national bank, state member bank, insured
state non-member bank, and savings association
with total assets of $26 billion or more as of
the most recent September 30 Call Report
(FFIEC 031 or FFIEC 041).

a. Part A, Federal Funds, is due by 7 a.m. ET one
business day after the report date,

b. Every U.S. branch and agency of a foreign bank
with total third party assets of $900 million or
more as of the most recent September 30
FFIEC 002 (RAL Item 3 less RAL Item 2.a.)
Please note that these entities will report only Part
A and Part C of the FR 2420.

Shifts in Reporting Status
The reporting criteria are evaluated annually (after the
FR 2420 implementation date). If a banking organization
FR 2420
General Instructions April 2014

b. Part B, Eurodollars, is due by 7 a.m. ET one
business day after the report date, and
c. Part C, Certificates of Deposit (CDs) is due by 2
p.m. ET two business days after the report date.
If the submission date falls on a weekend or holiday, the
data must be received on the first business day after the
weekend or holiday. No other extensions of time for
submitting reports will be granted.

How to Prepare Reports
Respondents are required to prepare and file the FR 2420
in accordance with generally accepted accounting principles (GAAP) and these instructions.
GEN-1

General Instructions

Rules of Consolidation:
FFIEC 031 and FFIEC 041 Reporters:
For Part A and Part C, institutions with foreign offices
must follow the Call Report instructions for consolidation in the domestic-office portion of the FFIEC 031.
That is, domestic branches and majority-owned domestic
subsidiaries that meet the tests of significance (as
described in the General Instructions of the Call Report)
are to be fully consolidated on this report.
For Part A and Part C, institutions with domestic
offices only must follow the Call Report instructions for
consolidation in the FFIEC 041. That is, domestic
branches and majority-owned domestic subsidiaries that
meet the tests of significance (as described in the General
Instructions of the Call Report) are to be fully consolidated on this report.
For Part B, U.S. commercial banks and thrifts should
consolidate all reportable liabilities for each foreign
office that exceeds $2 billion or more in total assets.
FFIEC 002 Reporters:
For Part A and Part C, U.S. branches and agencies of
foreign banks must follow the FFIEC 002 instructions for
consolidation. Each designated branch or agency of a
given foreign bank must file a separate report unless the
foreign bank submitted a consolidated FFIEC 002 for
two or more of its offices. In such cases, a consolidated
FR 2420 must be filed. Respondents should contact the
FRBNY to obtain permission for any deviation from this
practice.

GEN-2

For Part B, please note that U.S. branches and agencies
of foreign banks do not report under Part B.

Amended Reports
The Federal Reserve will require the filing of amended
reports if reports as previously submitted contain significant errors. Please contact the FRBNY’s Statistics Function concerning amended reports. Respondents must
submit amended reports using The Federal Reserve Systems’ Reporting Central system.

Reported Data
Dollar Amount Denomination
All amounts on the FR 2420 are reported in millions of
dollars.

Rounding: All dollar amounts must be reported in
millions, with amounts rounded to the nearest million.
Transactions less than $1 million should not be reported.

Interest Rates
All rates reported on the FR 2420 should always be
expressed in terms of five decimal places. (e.g., 2.53
percent would be expressed as 2.53000; 1/2 percent
would be expressed as 0.50000.)

Reported Transactions
Amounts reported represent the transactions that were
executed on the report date, not the outstanding balances
as of that date.

FR 2420
General Instructions April 2014

LINE ITEM INSTRUCTIONS FOR

Federal Funds
Part A

This section contains line item instructions on federal
funds transactions.

Definition
Respondents should report all unsecured borrowings of
U.S. dollars made to the institution’s U.S. offices at the
close of business for the report date. Exclude the following borrowings from Part A:
• Deposits (as defined on the Schedule E of the Call
Report and the FFIEC 002),
• Debt instruments (using the assets definitions on
Schedule B and Schedule D of the Call Report and
the FFIEC 002),
• Repurchase agreements and security lending transactions (as defined on RC, Item 14.b on the Call Report
and RAL Item 4.b.2 on the FFIEC 002),
• Equity (as defined on RC, Item 28 on the Call
Report),
• Currency and Coin,
• Overdrafts,
• Affiliate and related party transactions (i.e., intercompany transactions),
• Intraday transactions,

FR 2420
Part A April 2014

• All forward starting transactions, even when the
reporting date is the settlement date,
• Unsecured borrowings made to the institution’s
International Banking Facility (IBF).

Items to Report
Dollar Amount
Report the amount (in millions of dollars) of each
reportable federal funds transaction that settles (i.e., the
date the receipt of the funds is executed and funds are
made available to the reporting institution) on the report
date. If no transactions were executed on the report date,
report ‘‘0.’’

Rounding: All dollar amounts must be reported in
millions, with amounts rounded to the nearest million.
Transactions less than $1 million should not be reported.

Maturity Date
Report the maturity date of each transaction in
YYYYMMDD format. In cases where the transaction
does not have a specific maturity date, enter 99991231.

Interest Rate
Report the interest rate applicable to the transaction. The
interest rate should always be expressed in terms of five
decimal places.

A-1

LINE ITEM INSTRUCTIONS FOR

Eurodollars
Part B

This section contains line item instructions on Eurodollar
transactions. Please note that Part B should not be
submitted by U.S. branches and agencies of foreign
banks.

• Liabilities booked at the institution’s IBF,
• All forward starting transactions, even when the
reporting date is the settlement date.

Definition

Items to Report

Respondents should report all unsecured liabilities at the
close of business in U.S. dollars booked at each non-U.S.
office whose total assets booked at that office exceed $2
billion at the close of business for the report date.

Dollar Amount

Exclude the following borrowings from Eurodollar transactions:
• Demand deposits (as defined on the Schedule E of
the Call Report) and any deposit placed under sweep
agreements or other contractual cash management
agreements (as defined in the General Instructions of
the FR 2900 report),

Report the amount (in millions of dollars) of each
reportable Eurodollar transaction that settles (i.e., the
date the receipt of the funds is executed and funds are
made available to the reporting institution) on the report
date. If no transactions were executed on the report day,
report ‘‘0.’’

Rounding: All dollar amounts must be reported in
millions, with amounts rounded to the nearest million.
Transactions less than $1 million should not be
reported.

• Debt instruments (using the assets definitions on
Schedule B and Schedule D of the Call Report),

Maturity Date

• Repurchase agreements and security lending transactions (as defined on RC, Item 14.b on the Call
Report),

Report the maturity date of each transaction in
YYYYMMDD format. In cases where the transaction
does not have a specific maturity date, enter 99991231.

• Affiliate and related party transactions (i.e., intercompany transactions),

Interest Rate

• Overdrafts,

Report the interest rate applicable to the transaction. The
interest rate should always be expressed in terms of five
decimal places.

• Intraday transactions,
• Liabilities to individuals,

FR 2420
Part B April 2014

B-1

LINE ITEM INSTRUCTIONS FOR

Certificates of Deposit (CDs)
Part C

This section contains line item instructions on CD transactions.

available to the reporting institution) on the report date. If
no transactions were executed on the report date, report
‘‘0.’’

Definition

Rounding: All dollar amounts must be reported in

Report in this part time certificates of deposit that are
booked in U.S. offices in U.S. dollars, denominated in
amounts of $1 million or more; and are evidenced by a
negotiable or nonnegotiable instrument, or a deposit in
book entry form evidenced by a receipt or similar
acknowledgement issued by the bank, that provides, on
its face, that the amount of such deposit is payable to the
bearer, to any specified person, or to the order of a
specified person as follows:

Each transaction should be reported separately even
when all terms of the CDs issued match. However,
transactions such as brokered deposits, where CDs are
placed by a third party after the CD’s issuance, should be
reported as one transaction.

millions, with amounts rounded to the nearest million.
Transactions less than $1 million should not be
reported.

a. On a certain date not less than seven days after the
date of deposit,

Report the renewal of an existing CD on the day it
becomes outstanding with its new terms. For variable
rate CDs, report only at inception regardless of changes
in the terms of the CD before its maturity.

b. At the expiration of a specified period not less
than seven days after the date of the deposit, or

Maturity Date

c. Upon written notice to the bank which is to be
given not less than seven days before the date of
withdrawal.
Exclude the following borrowings from CD transactions:
• All forward starting transactions, even when the report
date is the settlement date,
• Market-linked CDs that use derivative transactions as
hedges,

Report the maturity date of each transaction in
YYYYMMDD format.

Interest Rate
Report the interest rate applicable to the transaction. The
interest rate should always be expressed in terms of five
decimal places. If a CD’s floating rate uses a reference
rate, report the rate applicable at the inception of the
transaction.

• Liabilities booked at the institution’s IBF.

Floating or Fixed Rate

Items to Report

If the CD has a floating rate, enter 1. If the rate is fixed
enter 2. CDs that have a reset period should be reported
as fixed.

Dollar Amount
Report the amount (in millions of dollars) of each
reportable CD transaction that settles (i.e., the date the
receipt of the funds is executed and funds are made
FR 2420
Part C April 2014

Reset Period
Enter the value below to describe the frequency for when
the rate for the reported CD can reset.
C-1

Part C

0 - No Reset
1 - Weekly
2 - Monthly
3 - Quarterly
4 - Semi-annually
5 - Annually
6 - Other

Reference Rate
If the CD has a floating rate, enter the value below to
describe the reference rate. Enter 0 if the CD has a fixed
rate.

1 - Federal Funds Effective Rate
2 - Prime
3 - 1 Month U.S. Treasury Constant Maturity Rate
4 - 1 Month LIBOR
5 - 3 Month LIBOR
6 - Overnight Swap Index
7 - Other

Negotiable
Please enter Y if the CD is negotiable or N if the CD is
non-negotiable.

0 - NA

C-2

Part C

FR 2420
April 2014