[Federal Register Volume 80, Number 66 (Tuesday, April 7, 2015)]
[Notices]
[Pages 18620-18624]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2015-07920]


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FEDERAL RESERVE SYSTEM


Proposed Agency Information Collection Activities; Comment 
Request

AGENCY: Board of Governors of the Federal Reserve System.

SUMMARY: The Board of Governors of the Federal Reserve System (Board), 
under authority delegated by the Office of Management and Budget (OMB), 
proposes to amend its reporting form FR 2420 to expand the number of 
respondents and to collect additional data elements, in order to 
facilitate the Board's ability to carry out its monetary policy and 
supervisory responsibilities.
    On June 15, 1984, OMB delegated to the Board its authority under 
the Paperwork Reduction Act (PRA), to approve and to assign OMB control 
numbers to collection of information

[[Page 18621]]

requests and requirements conducted or sponsored by the Board. Board-
approved collections of information are incorporated into the official 
OMB inventory of currently approved collections of information. Copies 
of the Paperwork Reduction Act Submission, supporting statements and 
approved collection of information instruments are placed into OMB's 
public docket files. The Board may not conduct or sponsor, and the 
respondent is not required to respond to, an information collection 
that has been extended, revised, or implemented on or after October 1, 
1995, unless it displays a currently valid OMB control number. A copy 
of the PRA OMB submission, including the proposed reporting form and 
instructions, supporting statement, and other documentation will be 
placed into OMB's public docket files, once approved. These documents 
will also be made available on the Federal Reserve Board's public Web 
site at: http://www.federalreserve.gov/apps/reportforms/review.aspx or 
may be requested from the Federal Reserve Board Acting Clearance 
Officer, whose name appears below.

DATES: Comments must be submitted on or before June 8, 2015.

ADDRESSES: You may submit comments, identified by FR 2420, by any of 
the following methods:
     Agency Web site: http://www.federalreserve.gov. Follow the 
instructions for submitting comments at http://www.federalreserve.gov/apps/foia/proposedregs.aspx.
     Federal eRulemaking Portal: http://www.regulations.gov. 
Follow the instructions for submitting comments.
     Email: [email protected]. Include OMB 
number in the subject line of the message.
     FAX: (202) 452-3819 or (202) 452-3102.
     Mail: Robert deV. Frierson, Secretary, Board of Governors 
of the Federal Reserve System, 20th Street and Constitution Avenue NW., 
Washington, DC 20551.
    All public comments are available from the Board's Web site at 
http://www.federalreserve.gov/apps/foia/proposedregs.aspx as submitted, 
unless modified for technical reasons. Accordingly, your comments will 
not be edited to remove any identifying or contact information. Public 
comments may also be viewed electronically or in paper form in Room 
3515, 1801 K Street (between 18th and 19th Streets NW.) Washington, DC 
20006 between 9:00 a.m. and 5:00 p.m. on weekdays.
    Additionally, commenters may send a copy of their comments to the 
OMB Desk Officer, Shagufta Ahmed, Office of Information and Regulatory 
Affairs, Office of Management and Budget, New Executive Office 
Building, Room 10235 725 17th Street NW., Washington, DC 20503 or by 
fax to (202) 395-6974.

FOR FURTHER INFORMATION CONTACT: Federal Reserve Board Acting Clearance 
Officer, Mark Tokarski, Office of the Chief Data Officer, Board of 
Governors of the Federal Reserve System, Washington, DC 20551 (202) 
452-3829. Telecommunications Device for the Deaf (TDD) users may 
contact (202) 263-4869, Board of Governors of the Federal Reserve 
System, Washington, DC 20551.

SUPPLEMENTARY INFORMATION:

Request for Comment on Information Collection Proposal

    The following information collection, which is being handled by the 
Board under OMB-delegated authority, has received initial Board 
approval and is hereby published for comment. At the end of the comment 
period, the proposed information collection, along with an analysis of 
comments and recommendations received, will be submitted to the Board 
for final approval under OMB-delegated authority. Comments are invited 
on the following:
    a. Whether the proposed collection of information is necessary for 
the proper performance of the Federal Reserve's functions; including 
whether the information has practical utility;
    b. The accuracy of the Board's estimate of the burden of the 
proposed information collection, including the validity of the 
methodology and assumptions used;
    c. Ways to enhance the quality, utility, and clarity of the 
information to be collected;
    d. Ways to minimize the burden of information collection on 
respondents, including through the use of automated collection 
techniques or other forms of information technology; and
    e. Estimates of capital or start-up costs and costs of operation, 
maintenance, and purchase of services to provide information.

Proposal to approve under OMB-delegated authority the extension for 
three years, with revision, of the following report:

    Report title: Report of Selected Money Market Rates.
    Agency form number: FR 2420.
    OMB control number: 7100-0357.
    Frequency: Daily.
    Proposed Reporters: Domestically chartered commercial banks and 
thrifts that have $15 billion or more in total assets, or $5 billion or 
more in assets and meet certain unsecured borrowing activity 
thresholds; U.S. branches and agencies of foreign banks with total 
third-party assets of $2.5 billion or more.
    Estimated annual reporting hours: Commercial banks and thrifts--
42,300 hours; U.S. branches and agencies of foreign banks--35,100 
hours; International Banking Facilities--19,750 hours; Significant 
banking organizations--900 hours.
    Estimated average hours per response: Commercial banks and 
thrifts--1.8 hours; U.S. branches and agencies of foreign banks--1.8 
hours; International Banking Facilities--1.0 hour; Significant banking 
organizations--1.8 hours.
    Number of respondents: Commercial banks and thrifts--94; U.S. 
branches and agencies of foreign banks--78; International Banking 
Facilities--79; Significant banking organizations--2.
    General description of report: The FR 2420 is a mandatory report 
that is authorized by sections 9 and 11 of the Federal Reserve Act (12 
U.S.C. 324 and 248(a)(2)), sections 7(c)(2) and 8(a) of the 
International Banking Act (12 U.S.C. 3105(c)(2) and 3106(a)), and 
section 5(c) of the Bank Holding Company Act (12 U.S.C. 1844(c)(1)(A)). 
Individual respondent data are regarded as confidential under the 
Freedom of Information Act (FOIA) (5 U.S.C. 552(b)(4)).
    Abstract: The FR 2420 is a transaction-based report that currently 
collects daily liability data on federal funds transactions, Eurodollar 
transactions, and certificates of deposit (CDs) from (1) domestically 
chartered commercial banks and thrifts that have $26 billion or more in 
total assets and (2) U.S. branches and agencies of foreign banks with 
total third-party assets of $900 million or more. FR 2420 data are used 
in the analysis of current money market conditions and will allow the 
Federal Reserve Bank of New York to calculate and publish interest rate 
statistics for selected money market instruments.
    Current Proposal: The Board seeks to amend the FR 2420 by altering 
reporting entity criteria, by changing certain definitions and 
reporting requirements, and by collecting additional data elements, as 
set forth more fully below under ``Summary of Proposed Revisions.'' 
These amendments would facilitate the Federal Reserve's ability to 
carry out its monetary policy and supervisory responsibilities in 
several important respects.
    First, the proposed expanded data collection would improve 
unsecured money market monitoring and augment

[[Page 18622]]

the ability of the Federal Reserve to analyze these markets and 
implement monetary policy objectives established by the Board and the 
Federal Open Market Committee.
    Second, the proposed expanded data collection would provide broader 
and more detailed data for purposes of calculating the Federal Funds 
Effective Rate (FFER). The FR 2420 collection captures a greater share 
of federal funds activity than the brokered data that currently is used 
to construct the FFER, as depository institutions report both trades 
executed through brokers and those negotiated directly between 
counterparties. The data also allow for greater insight into the 
transactions underlying the federal funds rate, supporting a robust 
calculation process.
    The revised collection also would allow for the publication of an 
overnight bank funding rate that is calculated using transactions in 
both federal funds and Eurodollars. This additional rate will be 
published to increase the amount and quality of information available 
to the public about the overnight funding costs of U.S.-based banking 
offices.\1\
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    \1\ A more detailed description of the plans to change to the 
calculation process for the federal funds rate and publish the 
overnight bank funding rate can be found at: http://www.newyorkfed.org/markets/opolicy/operating_policy_150202.html.
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    Third, the proposed expanded data collection would provide an 
important source of information on individual depository institutions' 
borrowing rates, which is necessary for more effective monitoring of 
firm-specific liquidity risks for purposes of supervisory surveillance. 
Specifically, the amended FR 2420, as proposed, would provide 
complementary rate information that will not be collected going forward 
by either the Complex Institution Liquidity Monitoring Report (FR 
2052a; OMB No. 7100-0361) or the Liquidity Monitoring Report (FR 2052b; 
OMB No. 7100-0361). These FR 2052 reports currently collect 
consolidated liquidity information on depository institutions' funding 
activities, and a limited amount of information on borrowing rates. 
Going forward, however, information contained on the FR 2420 would 
replace certain information currently gathered on the FR 2052a, as 
these data elements would be dropped from the FR 2052a collection. 
Pricing information on the FR 2052b will not change, as that data is 
not similar to FR 2420 data. The amended FR 2420 as proposed would 
offer greater insight on the borrowing costs for these liabilities.
    Proposed Effective Date: The Board proposes to implement the 
amended FR 2420 as of September 9, 2015.

Summary of Proposed Revisions

I. Reporting Criteria

    As specified below, the Board is proposing several changes to the 
reporting criteria, including (a) lowering the asset-size threshold for 
domestic depository institutions to report on the FR 2420, (b) raising 
the asset-size threshold for FBOs to report on the FR 2420, (c) adding 
an activity-based reporting criterion to capture meaningful activity of 
domestic depository institutions, (d) requiring FBOs to include the 
Eurodollar borrowings for certain Cayman or Nassau branches, and (e) 
requiring all FR 2420 respondents to submit separate reports for their 
International Banking Facilities (IBFs).
    Under this proposal, exceptions to the reporting criteria may be 
made for those institutions that meet the asset size threshold but that 
demonstrate that they have an ongoing business model that results in a 
negligible amount of activity in these markets. In addition, an 
institution that did not meet the asset size threshold at the time of 
the most recent asset threshold review may be required to begin 
reporting transactions on the FR 2420 if its transactions consistently 
place it within the threshold levels.
a. U.S. Bank Asset Size Threshold
    The Board proposes to reduce the current asset threshold for 
domestic depository institutions to report on the FR 2420 from $26 
billion or more in total assets to $15 billion or more in total assets. 
An important segment of federal funds activity that occurs at 
relatively high rates is not currently captured on the FR 2420 
reporting sample because this activity is undertaken by domestic 
depository institutions with total assets that fall below the $26 
billion reporting threshold. Expanding the current FR 2420 reporting 
panel to capture this activity is necessary to enhance the 
representativeness of the data collection, in particular for purposes 
of calculating the FFER. This proposed lower threshold is intended to 
balance the need for more comprehensive data against the reporting 
burden to the affected depository institutions. Specifically, it is 
anticipated that the proposed lower threshold would add approximately 
34 domestic banks to the pool of FR 2420 respondents.
b. FBO Asset Size Threshold
    The Board proposes to increase the asset size threshold for FBOs to 
report on the FR 2420 from $900 million in third-party assets to $2.5 
billion in third-party assets. This increased threshold would reduce 
the reporting panel by roughly 31 FBOs, many of which have reported a 
negligible amount of unsecured borrowing activity each day on the FR 
2420. This proposal is intended to reduce reporting burden for these 
institutions.
c. U.S. Bank Activity Threshold
    The Board proposes to require domestic depository institutions with 
total assets ranging from $5 billion to $15 billion and federal funds 
activity of more than $200 million on more than two days during the 
preceding three months to report on all parts of the FR 2420. It is 
anticipated that there would be a modest number of institutions added 
to the FR 2420 reporting panel under this proposal. This activity 
threshold is intended to capture only domestic depository institutions 
in the specified asset range that are active borrowers in federal 
funds.
d. Managed and Controlled Cayman and Nassau Branches
    The Board proposes to require FBOs to include the Eurodollar 
borrowings for any ``managed and controlled'' branches located in the 
Cayman Islands or Nassau, Bahamas (Cayman and Nassau branches) with 
more than $2 billion in total assets on the FBO's FR 2420 report.\2\ 
``Managed and controlled'' branches are those branches for which the 
FBO files an FFIEC 002S (OMB No. 7100-0032). Cayman and Nassau branches 
within this specification are maintained by both domestic depository 
institutions and FBOs to support funding for their U.S. operations with 
Eurodollar liabilities. The FR 2420 currently captures Cayman and 
Nassau branch activity of a domestic parent with over $2 billion in 
assets, but not Cayman and Nassau branch activity of FBOs where those 
branches are managed and controlled by the FBO's New York branch. The 
data proposed to be reported on the FR 2420 from these branches are 
believed to represent a significant portion of the Eurodollar trading 
activity executed in the U.S. and are an important source of 
information

[[Page 18623]]

on the funding activity of foreign banks' U.S. operations.
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    \2\ Currently, all ``managed and controlled'' branches of FBOs 
reporting on the FR 2420 are located in the Cayman Islands or 
Nassau, Bahamas. However, the Board may determine that a FBO branch 
outside of these two locations but within the Caribbean generally 
should report on the FR 2420 if the majority of the responsibility 
for business decisions, including but not limited to decisions with 
regard to lending or asset management or funding or liability 
management, or the responsibility for recordkeeping in respect of 
assets or liabilities for that FBO branch, resides at a FBO that 
reports on the FR 2420.
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e. International Banking Facilities
    The Board proposes to require all FR 2420 respondents to submit a 
separate report (Schedule B only) for the Eurodollar borrowings of 
their IBFs. IBFs enable U.S. depository institutions to take foreign 
deposits (Eurodollars) in a U.S. office. The Board proposes to capture 
the Eurodollar activity of these entities on Schedule B of the FR 2420. 
The borrowings by these entities currently are believed to represent a 
modest proportion of overall Eurodollar activity; however, IBFs can be 
an important element of the overnight Eurodollar market facilitating 
transactions with international financial and official institutions.

II. Proposed Revisions Applicable to All Parts of the FR 2420

a. Counterparty Type
    The Board proposes to add a reporting field to the FR 2420 that 
would require respondents to identify counterparties by seven specified 
``counterparty type'' categories. Understanding counterparty types 
would improve the assessments of which types of firms are providing 
funding to depository institutions. Information on counterparty type 
would be particularly critical during times of stress, when certain 
lender groups may reduce available funding. The following are the 
proposed FR 2420 counterparty designations, which are based on Call 
Report and FR 2900 definitions.\3\ The number of counterparty 
designations used for each schedule of the FR 2420 varies based on the 
definition of the different transaction types:
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    \3\ The definition for non-financial corporates is taken from 
the FR 2052 Liquidity Monitoring reports.
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     U.S. depository institutions (includes their foreign 
branches and IBFs)
     U.S. branches and agencies of FBOs
     Foreign banks (includes IBFs of FBOs and Cayman and Nassau 
branches ``managed and controlled'' by the FBOs.)
     Non-depository financial institutions, not including 
federally-sponsored lending agencies
     Government Sponsored Enterprises (GSEs)
     Non-financial corporates
     Other
b. Trade Date and Settlement Date
    The Board proposes to add ``trade date'' and ``settlement date'' 
report fields to the FR 2420. Capturing a trade date field would affirm 
the actual trade date and would help to ensure the accuracy of other 
report elements. Settlement date is necessary to calculate the 
settlement period for forward starting transactions.
c. Forward Starting Transactions
    Currently, the FR 2420 only requires reporting of transactions 
settling on a spot basis. For federal funds and Eurodollars, spot basis 
settlement represents same-day settlement and, for CDs, two-day forward 
settlement. In order to capture the full complement of money market 
activity, the Board proposes to require reporting of transactions that 
settle on dates that do not conform to the spot convention; that is, to 
require reporting of transactions that settle beyond the day of trade 
execution for federal funds and Eurodollar transactions and on days 
other than two days after execution for CD transactions.

III. Proposed Revisions Applicable to FR 2420 Part A (Federal Funds)

    Currently, Part A of the FR 2420 report requires respondents to 
report all unsecured borrowings of U.S. dollars made to the reporting 
institution's U.S. offices on the report date, less deposits (as 
defined in the Call Report), debt instruments, and repurchase 
agreements. The Board proposes to amend the definition of ``federal 
funds'' applicable to the FR 2420 to correspond to a narrower set of 
transactions that is consistent with the provisions of the Board's 
Regulation D (Reserve Requirements of Depository Institutions, 12 CFR 
part 204). Under the current definition, some FR 2420 respondents are 
reporting domestic borrowing transactions as federal funds borrowing 
that do not fall under the federal funds exemption outlined in 
Regulation D. Aligning the definition of ``federal funds transactions'' 
in Part A of the FR 2420 with the ``federal funds'' exemption in 
Regulation D would improve the correspondence between the reported 
transactions and liabilities that are exempt from reserve requirements.

IV. Proposed Revisions Applicable to FR 2420 Part AA (Wholesale 
Borrowings)

    The Board proposes to add a new Schedule AA to the FR 2420 report 
to capture selected unsecured wholesale borrowings that are currently 
being reported as federal funds borrowing on the FR 2420, but would not 
be included under the proposed federal funds definition described 
above. For example, a direct borrowing from a corporate lender would be 
included as a ``federal funds borrowing'' under the FR 2420's current 
definition of ``federal funds,'' but would not be included under the 
proposed ``federal funds'' definition described above. The proposed 
Schedule AA would continue to capture these non-deposit transactions 
but would re-categorize them as ``wholesale borrowings.'' These 
transactions represent a small, but potentially important, alternate 
source of information on depository institutions' funding costs. As 
these transactions are already reported on the current FR 2420 report, 
there should be minimal additional burden involved with reporting those 
same transactions on the proposed schedule to the report.

V. Reporting Requirements Applicable to FR 2420 Part B (Eurodollars)

    The Board proposes to add an ``office identifier'' field to the FR 
2420 to identify the non-U.S. branch that booked each Eurodollar 
deposit. Currently, the FR 2420 requires respondents to report 
transactions from all non-U.S. branches of domestic institutions with 
more than $2 billion in total assets as Eurodollar transactions. Some 
of these transactions, however, are booked in countries with dollar 
deposit rates that are substantially different than the dollar deposit 
rates booked in Cayman or Nassau branches. For purposes of monitoring 
U.S.-based funding conditions and supporting the calculation of the 
overnight bank funding rate (OBFR), it is necessary to identify the 
branch that booked the transaction. Accordingly, the proposal would add 
an ``office identifier'' field to the FR 2420 to identify the non-U.S. 
branch that booked each Eurodollar deposit.

VI. Reporting Requirements Applicable to FR 2420 Part C (Time Deposits 
and CDs)

a. Definition for CDs
    The Board proposes to require FR 2420 respondents to report all 
time deposits and certificates of deposit with a term equal to or 
greater than 7 days in Schedule C, regardless of whether the respondent 
labels them as ``CDs'' or ``term time deposits.'' The current FR 2420 
instructions only require that ``certificates of deposit'' be reported. 
Discussions with market participants, however, have revealed that there 
is little distinction between a non-negotiable CD and a time deposit. 
In addition, some market participants have specifically not reported 
borrowings designated as ``term time deposits'' because they were not 
internally characterized as CDs. The proposed amendment will ensure 
more complete reporting of the relevant data.

[[Page 18624]]

b. Interest Rate Spread
    Currently, the FR 2420 report does not have an ``interest rate 
spread'' reporting field. Without this field, the underlying value of 
the reference rate and spread components cannot be determined with 
certainty. Accordingly, the Board proposes to add an ``interest rate 
spread'' field to the FR 2420 report. This new reporting field will 
enable calculation of the value of the underlying reference rate 
without looking up the reference rate in an additional data source. 
This field would be labelled `NA' for fixed-rate CDs.
c. Option Identifiers and Step-Up Indicator
    The Board proposes to add report fields to the FR 2420 that would 
identify CDs with embedded options as well as CDs and time deposits 
with rates that change over the term of the CD. CDs with options are 
becoming an increasingly important financial instrument with growing 
issuance, particularly in products with options to extend the maturity 
date. One additional data field would need to be added to identify 
instruments with embedded options. In addition, experience with the 
current data suggests that there is also a segment of the CD market 
with rates that rise or ``step up'' over the course of the instrument's 
life. An additional field would be necessary to identify these 
transactions. These fields could be particularly important for 
informing the use of CD rates in the calculation of reference rates, as 
options affect the comparability of instruments to others with the same 
stated maturity dates.
     CDs with embedded options would be identified under the 
proposal with an additional field that would capture the type of 
option, specifically `callable,' `puttable,' `extendable,' and `other,' 
or indicate `NA' for CDs without embedded options.
     Rates that will rise or fall over the life of the time 
deposit or CD based on a pre-arranged agreement would be identified 
under the proposal with an additional field that would be a `Y' or `N' 
step-up indicator.

    Board of Governors of the Federal Reserve System, April 2, 2015.
Robert deV. Frierson,
Secretary of the Board.
[FR Doc. 2015-07920 Filed 4-6-15; 8:45 am]
BILLING CODE CODE 6210-01-P