FR2420_20220321_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 authority
delegated by the Office of Management and Budget (OMB), has extended 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, 1 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. 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.
The Board added a data item to specify the day-count convention used for all interest
rates reported on the FR 2420 reporting form. The Board also revised the FR 2420 instructions to
allow for more timely collection of data, improve monitoring of the transition away from the
London Interbank Offered Rate (LIBOR), strengthen the reference rate production process, and
ensure the integrity of reported data. The revisions support the Board’s monetary policy and
supervisory mandates by providing greater insight into funding market conditions in periods
where conditions change rapidly, potentially affecting policy measures taken by th e Federal
Reserve. The revisions to FR 2420 would be effective with the September 1, 2022, as of date.
The current estimated total annual burden for the FR 2420 is 100,700 hours, and would
increase to 111,675 hours. The revisions would result in an increase of 10,975 hours. The draft
form and instructions are available on the Board’s public website at
https://www.federalreserve.gov/apps/reportforms/review.aspx.
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
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. This
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).

information is not available from other sources.
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 Purchased (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 - Reserve Requirements of
Depository Institutions (12 CFR Part 204).
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 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.
Selected Deposits (Part D)
Part D captures 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 is reporting institutions that, in recent years, shifted deposits from branches in the

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Caribbean Islands2 to the U.S. Part D also collects data from institutions that have historically
booked all or a portion of such deposits in their U.S. offices.
Respondent Panel
The FR 2420 panel comprises commercial banks, savings associations, U.S. 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 Reports) (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 98 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.
7100-0032). This threshold currently captures the 82 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 77 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.
Proposed Revisions to the FR 2420
The Board proposes to add a data item to specify the day-count convention used for all
interest rates reported on the FR 2420 reporting form. The Board also proposes revisions to the
FR 2420 instructions to allow for more timely collection of data, improve monitoring of the
transition away from the LIBOR, strengthen the reference rate production process, and ensure
the integrity of reported data. The proposed revisions support the Board’s monetary policy and
supervisory mandates by providing greater insight into funding market conditions in periods
where conditions change rapidly, potentially affecting policy measures taken by the Federal
Reserve. The proposed revisions to FR 2420 would be effective with the January 1, 2022, as of
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.
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 m onitoring of market
activity.

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date.
Reporting Form Revisions
The Board proposes to add a data item to specify the day-count convention used for all
interest rates reported on FR 2420. The Federal Reserve has identified limited instances of
reporting institutions using multiple day-count conventions in calculating reported interest rates,
specifically found in the reporting of Part C interest rates. The proposed revision would improve
the accuracy of reported data benefiting the Federal Reserve’s monitoring of funding market
conditions and strengthening the production of the EFFR and OBFR. The proposed data item
would provide the following day-count conventions as options: actual/360, actual/365, 30/360,
30/365, actual/actual, and other.
Instruction Revisions
Additional Reference Rate Options for Floating-Rate Time Deposits and CDs (Part C)
The Board proposes to include additional reference rates to which floating-rate time
deposits and CDs are tied. The additional rates include the Secured Overnight Financing Rate
(SOFR), other SOFR-based rates, and OBFR, all of which are published daily by the FRBNY.
Other SOFR-based rates include the SOFR Index and the SOFR Averages over 30, 90, and 180
days. This revision would improve the ability of the Federal Reserve to monitor the progress of
the transition from LIBOR to SOFR with respect to floating-rate money market instruments.4
Earlier Deadline for Submission of Time Deposit and CD data (General Instructions)
The Board proposes to change the deadline for submission of time deposit and CD data in
Part C to 2 p.m. ET one business day (T+1) after the report date, rather than two business days
(T+2) after the report date. This proposed change would provide more timely data and improve
the Federal Reserve’s monitoring of funding market conditions. The change would be
particularly beneficial on occasions when market conditions change quickly, such as when a
deterioration in time deposit and CD markets may produce spillovers to other markets.
Earlier Deadline for Submission of Federal Funds Purchased, Eurodollar, and Selected
Deposits Data (General Instructions)
The Board proposes to change the deadline for submission of Federal Funds Purchased,
Eurodollars, and Selected Deposits data in Parts A, B, and D to 7 p.m. ET the same day (T+0) as
the transaction date, rather than 7 a.m. ET one business day (T+1) after the transaction date. The
proposed earlier reporting deadline would allow for more opportunity for data revie w and
validation, reducing operational risk associated with the publication of the EFFR and OBFR.

4

The Alternative Reference Rates Committee is a group of private-market participants convened by the Board and
the FRBNY to help ensure a successful transition from U.S. dollar LIBOR to a more robust reference rate, its
recommended alternative, the SOFR.

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Clarifications to Prevent Errors (Parts C and D)
The Board proposes other minor additions to the FR 2420 instructions to prevent
confusion and errors on the part of reporting institutions. Guidance would be added for certain
reciprocal deposits, including insured deposit cash sweeps and Certificate of Deposit Account
Registry Service (CDARS) deposits (Part C). Additional guidance would be included on the
correct reporting of brokered deposits (Part C) and certain securities lending transactions
(Part D).
Time Schedule for Information Collection
With the proposed changes, respondents are required to file the FR 2420 with the
FRBNY for each business day as follows: (1) Part A, Part B, and Part D are due by 7 p.m. ET on
the report date and (2) Part C is due by 2 p.m. ET one business day after the report date.
Public Availability of Data
There is no data for specific reporting institutions related to this information collection
available to the public. The FRBNY uses the aggregated data from the FR 2420 to publish the
EFFR, OBFR, and associated aggregated statistics on its public website d aily.
Legal Status
The FR 2420 is authorized by section 11 of the Federal Reserve Act (FRA) and section 7
of the International Banking Act of 1978 (IBA). Section 11 of the FRA authorizes the Board to
require reports from depository institutions as it may deem necessary and authorizes the Board to
prescribe reports of liabilities and assets from insured depository institutions to enable the Board
to discharge its responsibility to monitor and control monetary and credit aggregates (12 U.S.C.
§ 248(a)). Section 7 of the IBA provides that federal branches and agencies of foreign banks are
subject to section 11 of the FRA as if they were state member banks (12 U.S.C. § 3105(c)). The
obligation to respond to the FR 2420 is mandatory.
The FRBNY uses aggregate data from the FR 2420 to publish the EFFR, OBFR, and
associated statistics daily. The information provided by individual respondents to the FR 2420 is
nonpublic commercial or financial information, which is both customarily and actually treated as
private by the respondents. Responses to the FR 2420 are therefore accorded confidential
treatment pursuant to exemption 4 of the Freedom of Information Act (5 U.S.C. § 552(b)(4)).
Consultation Outside the Agency
A group of large FR 2420 respondents (less than 10) were consulted in November 2020
regarding the feasibility of reporting timestamps for FR 2420 transactions, shifting reporting
deadlines, and the day-count conventions used when reporting interest rates on FR 2420
transactions. Outreach results suggest that timestamps for transactions are not recorded in a
consistent fashion across respondents, and thus the current proposals do not call for the reporting
of timestamps. Outreach also suggests that most respondents currently report Parts A, B, and D

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of the FR 2420 report on a T+0 basis, and no respondents consulted suggested that a T+0
reporting deadline for Parts A, B, and D was not feasible. Most respondents consulted noted that
they should be able to report Part C transactions on a T+1 basis. Feedback also showed that most
transactions are reported using the actual/360 day-count convention for interest rates, but other
day-count conventions are used for some reported transactions.
Public Comments
On May 5, 2021, the Board published an initial notice in the Federal Register (86 FR
23971) requesting public comment for 60 days on the extension, with revision, of the FR 2420.
The comment period for this notice expired on July 6, 2021. The Board received two comment
letters from two banking industry associations. As more fully explained below, the commenters
opposed changing the submission deadline for certain parts of the FR 2420 from the morning
after the transaction is completed (next-day deadline) to the evening the transaction is completed
(same-day deadline) and suggested a later implementation date for changing the submission
deadline for CD and time deposit transactions (Part C). One comment also argued that certain
proposed additions to the FR 2420 instructions, pertaining to securities lending, CDARS, and
insured cash sweep transactions, would significantly alter the scope of required reporting and
increase the reporting burden. In light of the comments, the Board has finalized the proposed
revisions to FR 2420, with certain modifications intended to mitigate any increase in reporting
burden.
Same Day Submission Deadline for Parts A, B, and D of FR 2420
The commenters indicated that the proposed same-day deadline for submission of data
related to Federal Funds Purchased (Part A), Eurodollars (Part B), and Selected Deposits (Part D)
transactions from the morning after the transaction is completed (next-day deadline) to the
evening the transaction is completed (same-day deadline) would not be feasible for certain
reporters and would leave insufficient time for reporting controls and other due diligence
processes. The commenters also suggested that the proposed deadline would lead to an increase
in re-filings of the FR 2420 report, as firms would need to re-file to correct mistakes which
would also increase the reporting burden.
In consideration of the additional burden on certain reporters that would have resulted
from the proposed same-day deadline, the Board has not finalized this proposed revision to the
FR 2420. The deadline for the above noted parts of FR 2420 will remain 7 a.m. ET on the day
after the transaction date. However, the Board will nonetheless encourage firms to submit reports
as early as possible in order to reduce operational risk associated with the publication of
reference rates. The majority of reporting firms already submit data for these parts of FR 2420 on
the same day as the transactions are completed, and the Board encourages other reporters to
follow this convention, as well, when practicable. Reducing risks associated with reference rates
production provides benefits to the public and financial markets, in addition to aiding monetary
policy implementation, and the Board may repropose a same-day submission deadline in
connection with a future renewal of the FR 2420.

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Submission Deadline for Part C of FR 2420
The commenters requested that implementation of the proposed earlier next-day deadline
for Part C of FR 2420 be delayed at least until August 1, 2022, or 12 months after the release of
the final form and instructions. The commenters argue that this later implementation date is
needed for reporting firms to have sufficient time to adjust their internal reporting and control
processes to accommodate the earlier reporting deadline. In light of the additional burden for
reporting firms, the Board will require compliance with the next-day deadline for Part C, along
with other changes to the instructions, starting on September 1, 2022.
Changes to Instructions
One commenter opposed several additions to the FR 2420 instructions, including
provisions concerning securities lending, CDARS, and insured cash sweep transactions.
Regarding securities lending transactions collateralized by cash, the commenter inquired why
these transactions would be considered selected deposits. With respect to CDARS and insured
cash sweep transactions, the commenter asserted that the proposed additions to the instructions
may entail a significant increase in firms’ reporting burden, as the added language appeared to
require data that may not be in the possession of reporting firms, but rather third parties. In
response to the concerns raised by the commenter, the Board will not include the proposed
additions concerning securities lending, CDARS, and insured cash sweep transactions in the final
instructions.5
The Board adopted the remaining revisions to the FR 2420 as proposed.
On January 24, 2022, the Board published a final notice in the Federal Register (87 FR
3539).
Estimate of Respondent Burden
As shown in the table below, the estimated total annual burden for the FR 2420 is
100,700 hours, and would increase to 111,675 with the revisions. The Board estimates that the
average hours per response would increase by 0.2 hours for commercial banks, savings
associations, U.S. branches and agencies of foreign banks, and significant banking organizations;
and increase by 0.1 hours for IBFs. These reporting requirements represent approximately 1.5
percent of the Board’s total paperwork burden.

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The commenters also noted that the proposed reporting instructions were not made publicly available at the time
the proposal was published in the Federal Register and requested that certain proposed changes to the instructions
not be adopted as a result. The initial Federal Register notice stated that copies of the reporting form and
instructions could be requested from the Board’s clearance officer, who was also identified in the notice. In response
to the commenters’ letter, the proposed form and instructions were provided to the commenters and posted on the
Board’s public website.

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Estimated
Estimated
Estimated
Annual
number of
average hours annual burden
frequency
respondents6
per response
hours

FR 2420
Current
Commercial banks and savings
associations
U.S. branches and agencies of
foreign banks

98

250

1.8

44,100

82

250

1.8

36,900

International Banking Facilities
Significant banking organizations

77
1

250
250

1.0
1.8

19,250
450

Current Total
Proposed
Commercial banks, savings
associations, U.S. branches and
agencies of foreign banks, and
significant banking organizations
International Banking Facilities

100,700

181
77

250
250

2.0
1.1

90,500
21,175

Proposed Total

111,675

Change

10,975

The estimated total annual cost to the public for the FR 2420 is $5,956,405, and would
increase to $6,605,576 with the revisions.7
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 estimated total annual cost to the Federal Reserve System for collecting and
processing the FR 2420 is $549,400. The estimated one-time cost to implement the revised report
is $260,100.
6

Of these respondents, none are considered small entities as defined by the Small Business Administration (i.e.,
entities with less than $600 million in total assets), https://www.sba.gov/document/support--table-size-standards.
7
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 $20, 45% Financial Managers at
$73, 15% Lawyers at $72, and 10% Chief Executives at $95). 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 2020, published March 31, 2021, https://www.bls.gov/news.release/ocwage.t01.htm. Occupations are defined
using the BLS Standard Occupational Classification System, https://www.bls.gov/soc/.

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