FR3036_20220419_omb

Supporting Statement for the
Central Bank Survey of Foreign Exchange and Derivatives Market Activity
(FR 3036; OMB No. 7100-0285)
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 Central Bank Survey of Foreign Exchange and Derivatives Market Activity
(FR 3036; OMB No. 7100-0285). The FR 3036 is a component of the U.S. portion of a global
data collection (the BIS survey) that is conducted by central banks once every three years and
captures information relating to the volume of foreign exchange (FX) transactions. Currently,
more than 50 central banks plan to conduct the BIS survey in 2022. The Bank for International
Settlements (BIS), of which the Board is a member, compiles aggregate national data from each
central bank to produce and publish global market statistics. Aggregated data from the FR 3036
is compiled and forwarded to the BIS, which uses the data to produce and publish these statistics.
The Board revised the FR 3036 turnover portion of the survey by adding specifics
regarding non-market facing trades (separate identification of back-to-back trades and
compression trades under the “total” columns), as well as increased granularity on the short end
of the maturity buckets (removing the existing “seven days or less” category and adding “one
day” and “over one day and up to seven days” categories). Also, the Board added a new FX
settlement risk schedule, with breakdowns by counterparty sector, currency type, and total
turnover settlement method. The effective date of the revisions would be April 2022. The
revisions keep the survey aligned with BIS templates, in order to ensure the comparability of the
reported data across the different central banks.
The current estimated total annual burden for the FR 3036 is 1,155 hours, and would
increase to 1,365 hours. The revisions would result in an increase of 210 hours. The form and
instructions are available on the Board’s public website at
https://www.federalreserve.gov/apps/reportforms/default.aspx.
Background and Justification
The BIS survey is a comprehensive source of global information on the volume of FX
and derivatives trading and, as such, is useful to the Federal Reserve System and other
government agencies in understanding market developments and trends. The data provide the
Manager of the Federal Reserve System Open Market Account with information for analyzing
market developments and conducting Federal Reserve and U.S. Treasury FX operations. Survey
data are also used by market participants to gain a perspective on the market that is not available
from data at the firm level. Academics and the general public use the survey’s data for research
and analysis.
The BIS survey has two parts: a Turnover (volume of transactions) survey and a
Derivatives Outstanding survey. The FR 3036 covers only the Turnover portion of the BIS
survey and is collected at the end of June. The Derivatives Outstanding portion of the BIS survey

is covered by the Semiannual Report of Derivatives Activity (FR 2436; OMB 7100-0286). This
information collected by the FR 3036 is not available from other sources.
Description of Information Collection
The FR 3036 survey will collect information on the size and structure of the FX and overthe-counter (OTC) derivatives markets. The survey will cover the turnover in the FX market on
Tables A1-A6 (spot, forwards, FX swaps, currency swaps, and OTC options) and new table A7
(FX settlement), and in interest rate derivatives markets on Tables B1-B2 (forward rate
agreements, overnight index swaps, other interest rate swaps, and OTC options).
Notional amounts of FX turnover (Tables A1, A2, A3, A4, A5, and A6). Respondents
should report the notional value of FX turnover in the given month for 21 major U.S. dollar
currency pairs, 12 major non-dollar Euro pairings, and six major non-dollar Yen pairings.
Residual columns for non-specified currency pairs are also collected for an additional 37
specified foreign currencies.
Notional amounts of settlement of FX transactions (Table A7). Respondents should
report the notional value of FX settlement turnover in the given month for each type of
counterparty for all currencies combined.
Notional amounts of single currency interest rate derivatives (Tables B1 and B2).
Respondents should report the notional value of single currency interest rate derivatives turnover
in April 2022 the given month for the U.S. dollar and 39 additional currencies. A residual
column for turnover in non-specified currencies is also collected.
Additional detail. The tables above collect the following additional detail on the notional
amounts of turnover in the given month.
Product types: FX spot, outright forwards, FX swaps, currency swaps, and sum of bought
and sold OTC FX options (Tables A1, A2, A3, A4, A5, and A6); forward rate agreements,
overnight indexed swaps, other interest rate swaps, and OTC interest rate options (Tables B1 and
B2).
Counterparty types: Reporting dealers, other financial institutions, and non-financial
customers. Counterparties are further broken out into local and cross-border. For FX turnover
(Tables A1, A2, A3, A4, A5, and A6), other financial institutions are further broken out into
(1) non-reporting banks, (2) institutional investors, (3) hedge funds and proprietary trading firms,
(4) official sector financial institutions, (5) others, and (6) undistributed.
Prime brokerage: Total FX turnover for each product type (Tables A1, A2, A3, A4, A5,
and A6) collects a memorandum item, “of which prime brokered”, to capture turnover conducted
through a dealer’s prime brokerage accounts. Prime brokers are institutions facilitating trades for
their clients (often institutional funds, hedge funds and other proprietary trading firms). Prime
brokers enable their clients to conduct trades with a group of predetermined third-party banks in

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the prime broker’s name. These transactions have accounted for a large part of the growth in FX
turnover in recent years.
Retail turnover: Total FX turnover for each product type (Tables A1, A2, A3, A4, A5,
and A6) collects a memorandum item, “of which retail-driven”, to capture turnover associated
with retail clients. Retail-driven transactions are defined as reporting dealers’ transactions with
“wholesale” financial counterparties that cater to retail investors and direct transactions with
“non-wholesale” investors. In recent years, retail investors have increased their participation in
the FX market, facilitated by internet-based trading platforms.
Non-deliverable forwards: Total turnover in FX outright forwards (Tables A1, A2, and
A3) collects a memorandum item, “of which non-deliverable forwards” (NDF), to capture
turnover in six major U.S. dollar currency pairs (USD/BRL, USD/CNY, USD/INR, USD/KRW,
USD/RUB and USD/TWD) with significant non-deliverable forward turnover. Turnover in NDF
for other less well-traded pairs will also be captured in aggregate. NDF differ from deliverable
forwards in that there is no physical delivery of the two underlying currencies at maturity and
instead are settled in cash.
Non-market facing trades: Total turnover in FX spot (Table A2) collects a grand total in
“o/w back-to-back trades”. Turnover in FX outright forwards, FX swaps, currency swaps, OTC
options, other products, and total FX contracts (Tables A2 and A5), as well as turnover in
forward rate agreements, overnight indexed swaps, other swaps, total OTC options, other
products and total interest rate contracts (Tables B1 and B2) collects a grand total in “o/w backto-back trades” and “o/w compression trades”.
Original maturities: Total turnover in FX outright forwards and FX swaps capture
original maturities according to the following maturity bands (1) one day, (2) over one day and
up to seven days, (3) over seven days and up to one month, (4) over one month and up to 3
months, (5) over 3 months and up to 6 months, and (6) over six months.
Execution method for FX contracts (Table C2). The survey includes the execution
method used for transacting FX contracts reported on Tables A1-A6 (spot, forward, swaps, and
options) and the associated counterparty (reporting dealers, other financial institutions, and nonfinancial customers). Execution is currently reported as (1) Voice Direct, (2) Voice Indirect,
(3) Electronic Direct single-bank proprietary trading system, (4) Electronic Direct Other,
(5) Electronic Indirect Anonymous Venues, (6) Electronic Indirect Disclosed Venues, and
(7) Unallocated (for turnover that fails to be allocated into one of the aforementioned execution
method categories).
Respondent Panel
The FR 3036 panel comprises commercial banks, brokers and dealers, and U.S. offices of
foreign banking offices with dealing operations in the United States. Respondents were identified
for the survey based on their participation in another survey, the Survey of North American
Foreign Exchange Volume, which is conducted by the Federal Reserve Bank of New York in
collaboration with the Foreign Exchange Committee, a private sector entity.

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Revisions to the FR 3036
The Board revised the maturity bands by replacing the existing “seven days or less”
category with two categories: “one day” and “over one day and up to seven days.” This change
aligns with current industry standards which, based on pre-emptive consultation with a sample of
reporting dealers, are already included in the back-end systems of respondents. Revisions to the
maturity bands were originally proposed to the BIS by data users seeking greater insight into
how overnight trades impact FX turnover and are expected to be broadly adopted by nearly all
participating central banks for the 2022 survey.
The revision added a new item for “of which back-to-back trades” under the total for spot
instruments, and the new items “of which back-to-back trades” and “of which compression
trades” for several instrument totals: outright forwards (Table A2), FX swaps (Table A2),
currency swaps (Table A5), OTC options (Table A5), FX contracts (Table A5), other products
(Table A5 and Table B2), forward rate agreements (Table B1), overnight indexed swaps
(Table B1), other swaps (Table B1), total OTC options (Table B2), and total interest rate
contracts (Table B2). The changes provide insight into an important facet of the FX market that
was omitted from prior surveys, and would be particularly valuable to data users given that both
transaction types have been cited by reporting dealers to comprise an increasing share of market
turnover. These proposed line items were circulated to a selection of reporting dealers and, based
on feedback received, have been modified to ensure a more limited impact on respondent burden.
The Board also included a more significant addition in the form of a new Settlement of
FX Transactions schedule (Table A7, Settlement of Foreign Exchange Transactions) to collect
information on FX settlement, including a breakdown by counterparty sector, currency pair, and
settlement method. The new schedule will enable the Board and other supervisory authorities to
more accurately and regularly monitor FX settlement risk – an area of growing importance for
financial regulators given that the BIS estimates that nearly $9 trillion of FX market payments
are at risk on a given day. While some countries collected a limited set of data on FX settlement
during the 2019 survey, it is the broad view of global regulatory authorities that more granular
data is needed to effectively monitor risks to financial stability that may arise from FX
settlement.
Time Schedule for Information Collection
The FR 3036 will include all trading conducted during the month of April 2022, with the
data due in June 2022. The choice of April for Turnover data continues the practice of previous
surveys. April was selected to avoid strong seasonal effects in the foreign exchange market at
other times of the year. In addition, April is the month other central banks will be conducting
their surveys and adoption of this date is critical for the aggregation of consistent global
statistics.

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Public Availability of Data
Aggregated market totals from the survey are published in a data release by the Federal
Reserve Bank of New York in the fall of 2022 and will also be provided to the BIS for its
published report on global trading.
Legal Status
The FR 3036 is authorized pursuant to sections 2A and 12A of the Federal Reserve Act
(FRA). Section 2A of the FRA requires that the Board and the Federal Open Market Committee
(FOMC) maintain long-run growth of the monetary and credit aggregates commensurate with the
economy’s long run potential to increase production, so as to promote effectively the goals of
maximum employment, stable prices, and moderate long-term interest rates (12 U.S.C. § 225a).
Under section 12A of the FRA, the FOMC is required to implement regulations relating to the
open market operations conducted by Federal Reserve Banks. Those transactions must be
governed with a view to accommodating commerce and business and with regard to their bearing
upon the general credit situation of the country (12 U.S.C. § 263). The Board and the FOMC use
the information obtained from the FR 3036 to help fulfill these obligations. The FR 3036 is
voluntary.
Individual firm information collected on the FR 3036 is considered confidential to the
extent it constitutes nonpublic commercial or financial information, which is both customarily
and actually treated as private by the respondent. Therefore, this information may be kept
confidential under exemption 4 of the Freedom of Information Act, which exempts “trade secrets
and commercial or financial information obtained from a person and privileged or confidential”
(5 U.S.C. § 552(b)(4)). If it should be determined that any information collected on the FR 3036
must be released, other than in the aggregate in ways that will not reveal the amounts reported by
any one institution, respondents will be notified. Aggregated FR 3036 data is compiled and
forwarded to the BIS, which publishes global market statistics that are aggregates of national
data from the Federal Reserve and other central banks.
Consultation Outside the Agency
This survey is being coordinated by the BIS with other participating central banks. A
selection of reporting dealers was also consulted on the proposed line item additio ns regarding
maturity bands and non-market facing trades to obtain feedback and ensure a more limited
impact on burden.
Public Comments
On November 23, 2021, the Board published an initial notice in the Federal Register (86
FR 66560) requesting public comment for 60 days on the extension, with revision, of the
FR 3036. The comment period for this notice expired on January 24, 2022. The Board did not
receive any comments. The Board adopted the extension, with revision, of the FR 3036 as
originally proposed. On April 6, 2022, the Board published a final notice in the Federal Register
(87 FR 19928).

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Estimate of Respondent Burden
As shown in the table below, the estimated total annual burden for the FR 3036 is 1,155
hours, and would increase to 1,365 hours with the revisions. The estimated average hours per
response increased from 55 to 65 hours with the addition of the Settlement of Fo reign Exchange
Transactions table, resulting in an increase of 210 annual burden hours. Reporting dealers use
separate systems for trading versus settlement, and settlement systems group together trades; a
slightly higher burden is estimated to result. These reporting requirements represent less than 1
percent of the Board’s total paperwork burden.
Estimated
Estimated
Estimated
Annual
number of
average hours annual burden
frequency
respondents1
per response
hours
21
1
55
1,155

FR 3036
Current
Proposed

21

1

Change

65

1,365
210

The estimated total annual cost to the public for the FR 3036 is $69,820, and would
increase to $82,514 with the revisions.2
Sensitive Questions
This collection of information contains no questions of a sensitive nature, as defined by
OMB guidelines.
Estimate of Cost to the Federal Reserve System
The estimated cost to the Federal Reserve System for collecting and processing the
FR 3036 is $750,000.

1

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.
2
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 $21, 45% Financial Managers at
$74, 15% Lawyers at $71, and 10% Chief Executives at $102). 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 2021, published March 31, 2022, 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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