FR 2420

Report of Selected Money Market Rates

Description: The FR 2420 is a transaction-based report that collects daily liability data on federal funds, borrowings from non-exempt entities, Eurodollars, and certificates of deposits (CDs) and time deposits (TDs) from (1) domestically chartered commercial banks and thrifts that have $18 billion or more in total assets, or $5 billion or more in assets and meet certain unsecured borrowing activity thresholds, and (2) U.S. branches and agencies of foreign banks with total third-party assets of $2.5 billion or more.

OMB: 7100-0357

Purpose: The FR 2420 data are used in the analysis of current money market conditions and will allow the Federal Reserve Bank of New York (FRBNY) to calculate and publish interest rate statistics for selected money market instruments. The data also support monitoring of borrowing costs of individual institutions for purposes of supervisory surveillance.

Background: The Federal Reserve established the FR 2420 in April 2014 to improve the 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), and having transaction data from these money markets provides insight into market functioning. Changes were implemented in October 2015 to improve the Federal Reserve's ability to carry out its monetary policy and supervisory responsibilities. The revised collection allows for the publication of the effective federal funds rate (EFFR) and an overnight bank funding rate (OBFR). In addition, the data enhancements support the Federal Reserve's ability to monitor firm-specific liquidity conditions for supervisory purposes.

The FR 2420 collects transaction-level data for activity executed through brokers and directly between counterparties and comprises both overnight and term transactions. The collection includes, in separate parts, federal funds (as defined by Regulation D); selected borrowings from non-exempt entities; Eurodollars (dollar-denominated liabilities outside the U.S.); and certificates of deposit/time deposits. Reported information includes the amount, trade date, settlement date, maturity date, interest rate, and counterparty type for each transaction. The FR 2420 provides additional rate level information on CDs that include negotiable and non-negotiable instruments.

Respondent Panel: The FR 2420 reporting panel is comprised of U.S. commercial banks, thrifts, and branches and agencies of foreign banks. Commercial banks and thrifts required to report for a given year are those with $18 billion or more in total assets on the September 30 Call Report of the prior year, or those with between $5 billion and $18 billion in assets that meet certain unsecured borrowing activity thresholds. U.S. branches and agencies of foreign banks required to report the FR 2420 daily are those that had third-party assets of $2.5 billion or more on the September 30 FFIEC 002 of the prior year.

Frequency: The FR 2420 is collected daily.

Public Release: Microdata from the FR 2420 are considered confidential and are not published.

Last Update: January 7, 2016