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 purchased, Eurodollar transactions, certificates of deposits (CDs), time deposits (TDs), and selected deposits 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. The FR 2420 also collects daily data on Eurodollar transactions from International Banking Facilities (IBFs) of the above-referenced institutions.

OMB: 7100-0357

Purpose: The FR 2420 data are used in the analysis of current money market conditions and 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 direction of the Federal Open Market Committee (FOMC), and having transaction data from these money markets provides insight into market functioning. The FR 2420 collection also supports the publication and effective federal funds rate (EFFR) and the overnight bank funding rate (OBFR). Changes were implemented in October 2015 to improve the Federal Reserve's ability to carry out its monetary policy and supervisory responsibilities and to support the Federal Reserve's ability to monitor firm-specific liquidity conditions for supervisory purposes. Additional changes were implemented in October 2018 to capture short-term wholesale unsecured deposits that are economically equivalent to federal funds purchased or Eurodollar deposits.

The FR 2420 report is filed on a daily basis and collects data on transactions in selected money market instruments that were executed by banking institutions on the report date. The collection includes, in separate parts, federal funds (as defined by Regulation D); Eurodollars (dollar-denominated liabilities outside the U.S.); certificates of deposit/time deposits; and selected 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, IBFs and significant banking organizations representing entities actively participating in the federal funds and/or other money markets. 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. IBFs of the above-referenced institutions are required to report daily for Eurodollars only.

Frequency: The FR 2420 is collected daily.

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

Last Update: October 1, 2018