FR2420_20180907_omb

Supporting Statement for the
Report of Selected Money Market Rates
(FR 2420; OMB No. 7100-0357)
Summary
The Board of Governors of the Federal Reserve System (Board), under delegated
authority from the Office of Management and Budget (OMB), proposes to extend for three years,
with revision, the Report of Selected Money Market Rates (FR 2420; OMB No. 7100-0357).
The FR 2420 is a transaction-based report that collects daily liability data on federal funds
purchased, selected borrowings from non-exempt entities, Eurodollar transactions, and time
deposits and certificates of deposits (CDs) from (1) domestically chartered commercial banks
and savings associations that have $18 billion or more in total assets as well as those that have
total assets above $5 billion but less than $18 billion and meet the activity threshold, (2) U.S.
branches and agencies of foreign banks with total third-party assets of $2.5 billion or more, and
(3) significant banking organizations that are active participants in money markets.1 The
FR 2420 also collects daily data on Eurodollar transactions from International Banking Facilities
(IBFs) of the above-referenced institutions. The FR 2420 data are used in the publication of the
effective federal funds rate (EFFR) and overnight bank funding rate (OBFR) and in analysis of
current money market conditions.
Revisions to the FR 2420 are being proposed to facilitate the Federal Reserve’s ability to
carry out its monetary policy and supervisory responsibilities. The Board proposes adding a new
part to the FR 2420 (Part D) that captures domestic deposits with characteristics making them
economically equivalent to Eurodollars from both reporting institutions that shifted deposits
from branches in the Caribbean Islands to the U.S., as well as from reporting institutions that
have historically booked all or a portion of such deposits only in the U.S. Additionally, the
Board proposes eliminating Selected Borrowings from Non-Exempt Entities (Part AA) to reduce
regulatory burden by removing a part of the report that collects information that is immaterial for
the production of reference rates and the monitoring of money markets. The proposed changes
would improve the Federal Reserve’s ability to monitor activity in unsecured money markets and
implement monetary policy. The revised collection also would ensure that the OBFR remains
robust over time and reflective of market conditions for overnight, unsecured funding.
The annual reporting burden for the current FR 2420 is estimated to be 103,300 hours and
would remain unchanged with the proposed revisions. The first report for the proposed revisions
to FR 2420 would be as of October 1, 2018.
Background and Justification
The Board established the FR 2420 in April 2014 to enhance the Federal Reserve’s
ability to monitor money markets. The Federal Reserve Bank of New York (FRBNY), on behalf
of the Federal Reserve, implements temporary open market operations in money markets at the
1

A selected borrowing from a non-exempt entity is an unsecured borrowing (an unsecured primary obligation
undertaken by the reporting institution as a means of obtaining funds) in U.S. dollars from a counterparty that is a
non-exempt entity as derived from Regulation D, Section 204.2(a)(vii).

directive of the Federal Open Market Committee (FOMC). Having transaction-level data on a
variety of money market instruments provides insight into market functioning, allows FRBNY to
meet the FOMC’s policy directive, and is used in the publication of the EFFR and OBFR.
In October 2015, the Board made changes to the FR 2420 reporting panel that
(1) modestly expanded the number of domestic depository institutions required to report and
reduced the number of foreign banks required to report, (2) required U.S. branches and agencies
of foreign banks (FBOs) to report the Eurodollar transactions of managed and controlled
Caribbean branches, and (3) required IBFs of reporting institutions to file the FR 2420. In
addition, the Board changed some definitions, including (1) narrowing the definition of
transactions reported as federal funds on the FR 2420 to align with the Reserve Requirements of
Depository Institutions (Regulation D) definition, (2) shifting the reporting of other wholesale
borrowing transactions currently reported as federal funds to a new schedule, (3) revising the
definition of CDs, and (4) including forward starting transactions. The Board also added several
new data elements. These included counterparty type, trade date, and settlement date for all
schedules of the report. On the Eurodollar schedule, one new data element was added that
identifies the offshore branch that booked the transaction. On the Time Deposit and Certificate
of Deposit schedule, one new data element was added that identifies embedded options; one that
specifies the interest rate spread on floating rate instruments; and one that indicates stepped-up
interest rates.
Description of Information Collection
The FR 2420 is a transaction-based report that collects daily liability data on federal
funds, selected borrowings from non-exempt entities, Eurodollars, and time deposits and
certificates of deposit (CDs). Transactions in these money market instruments are reportable if
executed on the report date and are denominated in U.S. dollars, executed in amounts of $1
million or more, and are conducted at arm’s length. Reported information includes the amount
of each transaction; the trade date, settlement date, and maturity date of each transaction; the
interest rate for each transaction; and the counterparty type involved in each transaction. In
addition, as CDs may have floating rates, several additional items are collected to better
understand their interest rate structure.
Federal Funds (Part A)
Part A captures data used for the analysis of federal funds market conditions. Federal
funds purchased are unsecured borrowings of the reporting institution’s U.S. offices from a
counterparty that is an exempt entity as defined in Regulation D.
Selected Borrowings from Non-Exempt Entities (Part AA)
Part AA captures selected unsecured wholesale borrowings that are not included in
Federal Funds (Part A). Direct borrowing from a corporate lender is an example. These
transactions represent a small, alternate source of information on depository institutions’ funding
costs.

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Eurodollars (Part B)
Eurodollars are an important source of funding for U.S.-based banking offices and the
Federal Reserve monitors and analyzes the Eurodollar market concurrently with its coverage of
the federal funds market. Eurodollars are unsecured liabilities of the reporting institution’s nonU.S. offices. IBFs of reporting institutions must also file a separate FR 2420 Part B.
Time Deposits and Certificates of Deposit (Part C)
Data on time deposits and CD transactions provide alternative sources of information to
the current daily survey of CD rates conducted by the Federal Reserve and improve market
monitoring capabilities as it provides additional, previously unavailable, detail on CD interest
rate structure. Time deposits and CDs are booked by the reporting institution, and may be
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. Unlike federal funds and
Eurodollars, CDs frequently have floating rates. For that reason, the FR 2420 collects additional
data fields for reportable CD transactions that are necessary to understand the interest rate
structure over the life of each CD. These data items are floating or fixed rate, a step-up
indicator, reset period, reference rate and spread information, negotiability, and embedded
options.
Proposed Revisions
The Board proposes to revise the FR 2420 by adding Selected Deposits (Part D) and
removing Selected Borrowings from Non-Exempt Entities (Part AA). Other minor edits in the
reporting instructions are proposed to improve clarity.
Summary of Revisions
1. Addition of Selected Deposits (Part D)
The Board proposes adding a new section, Part D, to the FR 2420, intended to capture
short-term wholesale unsecured deposits that are economically equivalent to federal funds
purchased in Part A or Eurodollars in Part B. The primary target for this collection would be
reporting institutions that, in recent years, shifted deposits from branches in the Caribbean
Islands2 to the U.S., which has caused this borrowing to fall outside the scope of the current
FR 2420. The proposed Part D would also collect data from institutions that have historically
booked all or a portion of such deposits in their U.S. offices.
Since June 2016, some Eurodollar activity from Cayman and Nassau branches of foreign
banks has shifted to U.S. branches of those banks, causing Eurodollar volume reported on the
FR 2420 to decline significantly, obscuring vision into the wholesale funding market and
reducing the robustness of the data used in calculating the OBFR. Federal Reserve staff are
2

Caribbean islands includes the Cayman Islands and Nassau, Bahamas or any other location within the Caribbean if
the majority of the responsibility for business decisions for that FBO branch reside at the U.S. branch of the foreign
bank that reports on the FR 2420.

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aware of at least roughly $35 billion in overnight Eurodollar transactions that have moved from
the Cayman Islands to New York. The motivation has been described as the simplification of
corporate structure for the drafting of living wills. Accordingly, the Board proposes to add
Part D to the FR 2420 to capture these short-term, wholesale, domestic deposits.
To capture the intended data, a selected deposit is defined as a deposit denominated in
U.S. dollars, in an amount of $1 million or more, that is issued in a U.S. office of the reporting
institution on the report date. A selected deposit is a deposit issued with an original specified
term to maturity of six or less days such that the dollar amount of the deposit is payable as
follows:
a) On a certain calendar date that is six or less days after the settlement date of the
deposit, or
b) At the end of a specified period of time that is six or less days after the settlement
date of the deposit.
Selected deposits include deposits issued for which the terms were negotiated at arm’s
length on the report date, which have interest rates specified as part of the terms that were
negotiated, with an original maturity of six or less days and are issued to either a personal or a
non-personal counterparty.
Selected deposits exclude deposits that do not have a specified term to maturity and are
payable immediately on demand and deposits that are issued as collateral for another transaction
(e.g., a deposit issued as collateral for a loan).
The data elements collected for Selected Deposits are identical to the elements collected
for Federal Funds Purchased (Part A) and Eurodollars (Part B), with the exception of ‘office
identifier.’ The reporting deadline is the same as the deadline for Parts A and B.
2. Removal of Selected Borrowings From Non-Exempt Entities (Part AA)
The Board proposes deleting Selected Borrowings from Non-Exempt Entities, Part AA,
from the FR 2420 to offset additional reporting burden resulting from the proposal to add Part D.
There are two additional reasons for the Board’s proposed deletion. First, Part AA does not
capture data currently used or expected to be used in the calculation of reference rates. Second,
Part AA currently collects very little data and the Part AA instructions sometimes cause
confusion among FR 2420 respondents. Currently, respondents are instructed to include
borrowings from non-exempt entities in Part AA, and are also instructed to exclude deposits as
defined in Regulation D (Section 204.2(a)(1)) from Part AA. However, borrowings from nonexempt entities are typically defined as deposits under Regulation D, which has caused confusion
for respondents reporting data on Part AA and limited the amount of useful data captured on this
part of the report form.

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3. Data Elements and Reporting Requirements Applicable to All Parts of the FR 2420
The Board proposes some wording changes throughout the FR 2420 instructions to help
clarify reporting expectations for respondents. As an example, the Board proposes to amend the
definition of federal funds purchased applicable to the FR 2420 to explicitly exclude borrowings
from a Federal Reserve Bank. While borrowings from Federal Reserve Banks were never meant
to be included in the definition of federal funds purchased for the purpose of the FR 2420,
respondents frequently reported such borrowings in Part A of the report form. Adding explicit
instructions to exclude borrowings from Federal Reserve Banks from Part A of the FR 2420
should help to clarify the type of data to be reported. There are several other instances of these
types of clarifications in the proposed FR 2420 instructions.
Reporting panel
The FR 2420 reporting panel is comprised of commercial banks, savings associations,
branches and agencies of foreign banks, IBFs, and significant banking organizations representing
entities actively participating in the federal funds and/or other money markets.3 Commercial
banks and savings associations with $18 billion or more in total assets on the September 30
Consolidated Reports of Condition and Income (Call Report) (FFIEC 031, FFIEC 041, and
FFIEC 051; OMB No. 7100-0036) each year are required to submit the FR 2420 daily for the
following year. Additionally, commercial banks and savings associations with total assets above
$5 billion, but less than $18 billion, and federal funds activity totaling more than $200 million on
two or more days over the preceding three months are included in the reporting panel. These
thresholds currently capture 99 depository institutions which provide sufficient coverage to have
a statistically representative sample. U.S. branches and agencies of foreign banks are required to
report daily if third-party assets are $2.5 billion or more on the September 30 Report of Assets
and Liabilities of U.S. Branches and Agencies of Foreign Banks (FFIEC 002; OMB No. 71000032). This threshold currently captures the 84 largest U.S. branches and agencies of foreign
banks. IBFs of the above-referenced institutions are required to report daily for Eurodollars
(Part B) only. This requirement currently captures 82 IBFs. There is currently one institution
deemed a significant banking institution.
Frequency
The FR 2420 report is submitted daily. Data collected are used by FRBNY as part of the
Federal Reserve’s daily market monitoring responsibilities. Part of that analysis calculates
average rates across products and tenors, and follows trends in the aggregate levels of
transactions. In order to calculate timely effective rates, daily data are needed. The Federal
Reserve proposes that the FR 2420 report continue to be submitted daily.
Time Schedule for Information Collection
The FR 2420 is a mandatory electronic report. Respondents are required to file the
3

A significant banking organization is an entity that does not fall within the normal criteria for reporting but,
nonetheless, is a participant in money markets whose data is important to the analysis and monitoring of market
activity.

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FR 2420 with the FRBNY for each business day as follows: (1) Federal Funds, Part A, is due by
7 a.m. ET one business day after the report date, (2) Eurodollars, Part B, is due by 7 a.m. ET one
business day after the report date, and (3) CDs, Part C, is due by 2 p.m. ET two business days
after the report date. The proposed Selected Deposits, Part D, would be due by 7 a.m. ET one
business day after the report date.
Legal Status
The FR 2420 is authorized by section 11(a)(2) of the Federal Reserve Act, which
authorizes the Board to require depository institutions to make such reports of their liabilities and
assets as the Board may determine to be necessary or desirable to enable the Board to discharge
its responsibility to monitor and control monetary and credit aggregates (12 U.S.C. 248(a)(2)).
The FR 2420 is also authorized pursuant to section 7(c)(2) of the International Banking Act
(IBA), which provides that Federal branches and agencies of foreign banks are subject to section
11(a) of the Federal Reserve Act as if they were a state member bank (12 U.S.C. 3105(c)(2)).
Section 7(c)(2) of the IBA also provides that state-licensed branches and agencies of foreign
banks are subject to the requirement in section 9 of the Federal Reserve Act that they file reports
of condition with the appropriate Federal Reserve Bank (12 U.S.C. 324). The obligation to
comply with the reporting requirements of FR 2420 is mandatory.
The individual financial institution information provided by each respondent would not
be otherwise available to the public. The proposed revisions, as well as information currently
collected, would be accorded confidential treatment under the authority of exemption 4 of the
Freedom of Information Act (5 U.S.C. 552(b)(4)). Exemption 4 protects from disclosure trade
secrets and privileged or confidential commercial or financial information.
Consultation Outside the Agency
A representative group of large FR 2420 respondents was consulted in December 2016 to
better understand the reasons banks were shifting Eurodollar deposits from Caribbean Islands to
deposits at their U.S. branches. Additionally, large commercial banks were also consulted in late
2017 about the proposed changes to the FR 2420. The comments from the large FR 2420
respondents and the representative group were considered and incorporated into this proposal.
Outreach was also done to the major federal funds and Eurodollar deposit brokers to better
understand the extent to which new institutions would be required to report in the FR 2420.
These brokers reported that there may be a few additional institutions, but that institutions
actively negotiating deposits in their U.S. offices are the same institutions actively funding
through Eurodollar deposits, or those that formerly were actively funding through Eurodollars.
The banks consulted confirmed that the deposits intended to be captured in the new Part D could
be an important wholesale funding source for reporting institutions. To ensure that the
instructions have captured the key potential elements of transactions in this wholesale funding
source, the characteristics listed for deposits reportable in the new Part D will be available for
public comment.
On May 18, 2018, the Board published an initial notice in the Federal Register
(83 FR 23276) requesting public comment for 60 days on the proposal to extend, with revision,

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the FR 2420. The comment period expired on July 17, 2018. The Board received one comment
from a government entity supporting the continued collection of data on the FR 2420. The
revisions will be implemented as proposed. On August 16, 2018, the Board published a final
notice in the Federal Register (83 FR 40770).
Estimate of Respondent Burden
As presented in the table below, the current annual reporting burden for the FR 2420 is
estimated to be 103,300 hours and would remain unchanged with the proposed revisions. These
reporting requirements represent less than 1 percent of the total Federal Reserve System
paperwork burden.
Number of
Annual
respondents4 frequency

FR 2420
Commercial banks and savings
associations
U.S. branches and agencies of
foreign banks
International Banking Facilities
Significant banking organizations

Estimated
average hours
per response

Estimated
annual burden
hours

99

250

1.8

44,550

84

250

1.8

37,800

82

250

1.0

20,500

1

250

1.8

450

Total

103,300

The total cost to the public for the revised FR 2420 is estimated to remain unchanged from the
current cost of $5,789,965.5
Sensitive Questions
This information collection contains no questions of a sensitive nature, as defined by
OMB guidelines.
Estimate of Cost to the Federal Reserve System
The proposed cost to the Federal Reserve System for collecting and processing the
FR 2420 is estimated to be $661,100 per year, or no change from the current cost. The one-time
cost to implement the revised report is estimated to be $316,000.
4

Of these respondents, none are considered small entities as defined by the Small Business Administration (i.e.,
entities with less than $550 million in total assets) www.sba.gov/document/support--table-size-standards.
5
Total cost to the public was estimated using the following formula: percent of staff time, multiplied by annual
burden hours, multiplied by hourly rates (30% Office & Administrative Support at $18, 45% Financial Managers at
$69, 15% Lawyers at $68, and 10% Chief Executives at $94). Hourly rates for each occupational group are the
(rounded) mean hourly wages from the Bureau of Labor and Statistics (BLS), Occupational Employment and Wages
May 2017, published March 30, 2018, www.bls.gov/news.release/ocwage.t01.htm. Occupations are defined using
the BLS Occupational Classification System, www.bls.gov/soc/.

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