QUALIFIED FINANCIAL CONTRACTS RECORDKEEPING RELATED TO THE FDIC ORDERLY LIQUIDATION AUTHORITY

• Citation: 31 CFR Part 148
• Sections: 5

§ 148.1 Scope, purpose, effective date, and compliance dates.

(a) Scope. This part applies to each financial company that is a records entity and, with respect to § 148.3(a), a top-tier financial company of a corporate group as defined in § 148.2.

(b) Purpose. This part establishes recordkeeping requirements with respect to QFCs of records entities in order to assist the Federal Deposit Insurance Corporation (“FDIC”) as receiver for a covered financial company (as defined in 12 U.S.C. 5381(a)(8)) in being able to exercise its rights and fulfill its obligations under 12 U.S.C. 5390(c)(8), (9), or (10).

(c) Effective Date. This part shall become effective December 30, 2016.

(d) Compliance —(1) Initial compliance dates. (i) A records entity subject to this part on the effective date must comply with § 148.3(a)(2) on the date that is 90 days after the effective date and with all other applicable requirements of this part on:

(A) March 31, 2019 for a records entity that:

( 1 ) Has total assets equal to or greater than $1 trillion; or

( 2 ) Is a member of the corporate group of any such records entity described in paragraph (d)(1)(i)(A)(1) of this section;

(B) June 30, 2019 for any records entity that is not subject to the compliance date set forth in paragraph (d)(1)(i)(A) of this section and:

( 1 ) Has total assets equal to or greater than $500 billion; or

( 2 ) Is a member of the corporate group of any such records entity described in paragraph (d)(1)(i)(B)(1) of this section; and

(C) June 30, 2020 for any records entity that is not subject to the compliance dates set forth in paragraph (d)(1)(i)(A) or (B) of this section and:

( 1 ) Has total assets equal to or greater than $250 billion; or

( 2 ) Is a member of the corporate group of any such records entity described in paragraph (d)(1)(i)(C)(1) of this section; and

(D) June 30, 2021 for any records entity that is not subject to the compliance dates set forth in paragraph (d)(1)(i)(A), (B), or (C) of this section.

(ii) A financial company that becomes a records entity after the effective date must comply with § 148.3(a)(2) within 90 days of becoming a records entity and with all other applicable requirements of this part within 540 days of becoming a records entity or within the remainder of the applicable period provided under paragraph (d)(1)(i) of this section, whichever period is longer.

(2) Subsequent compliance dates. If a financial company that at one time met the definition of records entity later ceases to meet the definition of records entity and thereafter, on any subsequent date, again meets the definition of a records entity, such financial company must comply with all applicable requirements of this part within 365 days after such subsequent date, or within the remainder of the applicable period provided under paragraph (d)(1)(i) of this section, whichever period is longer.

(3) Extensions of time to comply. The Secretary, in consultation with the FDIC, may grant one or more extensions of time for compliance with this part. A records entity may request an extension of time by submitting a written request to the Department of the Treasury and the FDIC at least 30 days prior to the deadline for its compliance provided under paragraph (d)(1) of this section. The written request for an extension must contain:

(i) A statement of the reasons why the records entity cannot comply by the deadline; and

(ii) A plan for achieving compliance during the requested extension period.

(4) Compliance by top-tier financial company. A top-tier financial company must comply with § 148.3(a)(1)(ii) on the same date as the date on which the records entity members of the corporate group of which it is the top-tier financial company are required to comply with this part.

§ 148.2 Definitions.

For purposes of this part:

(a) Affiliate means any entity that controls, is controlled by, or is under common control with another entity.

(b) Control. An entity “controls” another entity if:

(1) The entity directly or indirectly or acting through one or more other persons owns, controls, or has the power to vote 25 percent or more of any class of voting securities of the other entity;

(2) The entity controls in any manner the election of a majority of the directors or trustees of the other entity; or

(3) The Board of Governors of the Federal Reserve System has determined, after notice and opportunity for hearing in accordance with 12 CFR 225.31, that the entity directly or indirectly exercises a controlling influence over the management or policies of the other entity.

(c) Corporate group means an entity and all affiliates of that entity.

(d) Counterparty means any natural person or entity (or separate foreign branch or division of any entity) that is a party to a QFC with a records entity.

(e) Derivative liabilities means the fair value of derivative instruments in a negative position as of the end of the most recent fiscal year end, as recognized and measured in accordance with U.S. generally accepted accounting principles or other applicable accounting standards. Such value shall be adjusted for the effects of master netting agreements and cash collateral held with the same counterparty on a net basis to the extent such adjustments are reflected on the audited consolidated statement of financial condition of the applicable financial company filed with its primary financial regulatory agency or agencies or, for financial companies not required to file such statements, on the consolidated balance sheet of the financial company prepared in accordance with U.S. generally accepted accounting principles or other applicable accounting standards.

(f) Excluded entity means:

(1) An insured depository institution as defined in 12 U.S.C. 1813(c)(2);

(2) A subsidiary of an insured depository institution that is not:

(i) A functionally regulated subsidiary as defined in 12 U.S.C. 1844(c)(5);

(ii) A security-based swap dealer as defined in 15 U.S.C. 78c(a)(71); or

(iii) A major security-based swap participant as defined in 15 U.S.C. 78c(a)(67); or

(3) An insurance company.

(g) Financial company has the meaning set forth in 12 U.S.C. 5381(a)(11).

(h) Insurance company means:

(1) An insurance company as defined in 12 U.S.C. 5381(a)(13); and

(2) A mutual insurance holding company that meets the conditions set forth in 12 CFR 380.11 for being treated as an insurance company for the purpose of section 203(e) of the Dodd-Frank Act, 12 U.S.C. 5383(e).

(i) Legal Entity Identifier or LEI for an entity shall mean the global legal entity identifier maintained for such entity by a utility accredited by the Global LEI Foundation or by a utility endorsed by the Regulatory Oversight Committee. As used in this definition:

(1) Regulatory Oversight Committee means the Regulatory Oversight Committee (of the Global LEI System), whose charter was set forth by the Finance Ministers and Central Bank Governors of the Group of Twenty and the Financial Stability Board, or any successor thereof; and

(2) Global LEI Foundation means the not-for-profit organization organized under Swiss law by the Financial Stability Board in 2014, or any successor thereof.

(j) Parent entity with respect to an entity is an entity that controls that entity.

(k) Position means an individual transaction under or evidenced by a QFC and includes the rights and obligations of a party to an individual transaction under or evidenced by a QFC.

(l) Primary financial regulatory agency means:

(1) With respect to any financial company, the primary financial regulatory agency as specified for such financial company in subparagraphs (A), (B), (C), and (E) of 12 U.S.C. 5301(12); and

(2) With respect to a financial market utility that is subject to a designation pursuant to 12 U.S.C. 5463 for which there is no primary financial regulatory agency under § 148.2(l)(1), the Supervisory Agency for that financial market utility as defined in 12 U.S.C. 5462(8).

(m) Qualified financial contract or QFC means any qualified financial contract defined in 12 U.S.C. 5390(c)(8)(D), including without limitation, any “swap” defined in section 1a(47) of the Commodity Exchange Act (7 U.S.C. 1a(47)) and in any rules or regulations issued by the Commodity Futures Trading Commission pursuant to such section; any “security-based swap” defined in section 3(a) of the Securities Exchange Act of 1934 (15 U.S.C. 78c(a)) and in any rules or regulations issued by the Securities and Exchange Commission pursuant to such section; and any securities contract, commodity contract, forward contract, repurchase agreement, swap agreement, and any similar agreement that the FDIC determines by regulation, resolution, or order to be a qualified financial contract as provided in 12 U.S.C. 5390(c)(8)(D).

(n) Records entity —

(1) Records entity means any financial company that:

(i) Is not an excluded entity as defined in § 148.2(f);

(ii) Is a party to an open QFC; and

(iii) (A) Is subject to a determination that the company shall be subject to Federal Reserve supervision and enhanced prudential standards pursuant to 12 U.S.C. 5323;

(B) Is subject to a designation as, or as likely to become, systemically important pursuant to 12 U.S.C. 5463;

(C) Is identified as a global systemically important bank holding company pursuant to 12 CFR part 217;

(D)( 1 ) Has total assets on a consolidated basis equal to or greater than $50 billion; and

( 2 ) On a consolidated basis has:

( i ) Total gross notional derivatives outstanding equal to or greater than $250 billion; or

( ii ) Derivative liabilities equal to or greater than $3.5 billion; or

(E)( 1 ) Is a member of a corporate group in which at least one financial company meets the criteria under one or more of paragraphs (n)(1)(iii)(A), (B), (C), or (D) of this section; and

( 2 )( i ) Consolidates, is consolidated by, or is consolidated with such financial company on financial statements prepared in accordance with U.S. generally accepted accounting principles or other applicable accounting standards; or

( ii ) For financial companies not subject to such principles or standards, would consolidate, be consolidated by, or be consolidated with such financial company if such principles or standards applied.

(2) A financial company that qualifies as a records entity pursuant to paragraph (n)(1)(iii)(D) will remain a records entity until one year after it ceases to meet the criteria set forth in paragraph (n)(1)(iii)(D) of this section.

(o) Secretary means the Secretary of the Treasury or the Secretary's designee.

(p) Subsidiary means any company that is controlled by another company.

(q) Top-tier financial company means a financial company that is a member of a corporate group consisting of multiple records entities and that is not itself controlled by another financial company.

(r) Total assets means the total assets reported on the audited consolidated statement of financial condition of the applicable financial company for the most recent year end filed with its primary financial regulatory agency or agencies or, for financial companies not required to file such statements, the total assets shown on the consolidated balance sheet of the financial company for the most recent fiscal year end as prepared in accordance with U.S. generally accepted accounting principles or other applicable accounting standards.

(s) Total gross notional derivatives outstanding means the gross notional value of all derivative instruments that are outstanding as of the most recent fiscal year end, as recognized and measured in accordance with U.S. generally accepted accounting principles or other applicable accounting standards.

§ 148.3 Form, availability and maintenance of records.

(a) Form and availability —(1) Electronic records. (i) Except to the extent of any relevant exemption provided under paragraph (c) of this section, a records entity is required to maintain the records described in § 148.4 in electronic form and, as applicable, in the format set forth in the tables in the appendix to this part.

(ii) A top-tier financial company must be capable of generating a single, compiled set of the records required to be maintained by § 148.4(a)-(h), in a format that allows for aggregation and disaggregation of such data by records entity and counterparty, for all records entities in its corporate group that are consolidated by or consolidated with such top-tier financial company on financial statements prepared in accordance with U.S. generally accepted accounting principles or other applicable accounting standards or, for financial companies not subject to such principles or standards, that would be consolidated by or consolidated with such financial company if such principles or standards applied.

(2) Point of contact. Each records entity and top-tier financial company must provide a point of contact who is responsible for recordkeeping under this part by written notice to its primary financial regulatory agency or agencies and the FDIC and must provide written notice to its primary financial regulatory agency or agencies and the FDIC within 30 days of any change in its point of contact.

(3) Access to records. Except to the extent of any relevant exemption provided under paragraph (c) of this section, a records entity and a top-tier financial company that are regulated by a primary financial regulatory agency shall be capable of providing electronically to such primary financial regulatory agency and the FDIC, within 24 hours of request by the primary financial regulatory agency:

(i) In the case of a records entity, the records specified in § 148.4, and

(ii) In the case of a top-tier financial company, the set of records referenced in paragraph (a)(1)(ii) of this section.

(b) Maintenance and updating —(1) Daily updating. Except to the extent of any relevant exemption provided under paragraph (c) of this section, the records maintained under § 148.4 shall be based on values and information that are no less current than previous end-of-day values and information.

(2) Records maintenance. The records required under § 148.4 and the capability of generating the set of records required by paragraph (a)(1)(ii) of this section may be maintained on behalf of the records entity or top-tier financial company, as applicable, by any affiliate of such records entity or top-tier financial company, as applicable, or any third-party service provider; provided that such records entity shall itself maintain records under this part in the event that such affiliate or service provider shall fail to maintain such records and such top-tier financial company shall itself maintain the capability of generating the set of records required by paragraph (a)(1)(ii) of this section in the event that such affiliate or service provider shall fail to maintain the capability of doing so.

(3) Record retention. A records entity shall retain records maintained under § 148.4 based on end-of-day values and information for the five preceding business days.

(c) Exemptions —(1) De minimis exemption. A records entity that is a party to 50 or fewer open QFC positions is not required to maintain the records described in § 148.4, other than the records described in § 148.4(i).

(2) Clearing organizations. A records entity that is a derivatives clearing organization registered with the Commodity Futures Trading Commission under section 5b of the Commodity Exchange Act (7 U.S.C. 7a-1) or a clearing agency registered with the Securities and Exchange Commission under section 17A of the Securities Exchange Act of 1934 (15 U.S.C. 78q-1) is not required to maintain the records described in § 148.4 if it is:

(i) In compliance with the recordkeeping requirements of the Commodity Futures Trading Commission or the Securities and Exchange Commission, as applicable, including its maintenance of records pertaining to all QFCs cleared by such records entity; and

(ii) Capable of and not restricted from, whether by law, regulation, or agreement, transmitting electronically to the FDIC the records maintained under such recordkeeping requirements within 24 hours of request of the Commodity Futures Trading Commission or the Securities and Exchange Commission, as applicable.

(3) Requests for exemptions. One or more records entities may request an exemption from one or more of the requirements of this part by writing to the Department of the Treasury, the FDIC, and its primary financial regulatory agency or agencies, if any. The written request for an exemption must:

(i) Identify the records entity or records entities or the types of records entities to which the exemption should apply;

(ii) Specify the requirement(s) under this part from which the identified records entities should be exempt;

(iii) Provide details as to the size, risk, complexity, leverage, frequency and dollar amount of qualified financial contracts, and interconnectedness to the financial system of each records entity identified in paragraph (c)(3)(i) of this section, to the extent appropriate, and any other relevant factors; and

(iv) Specify the reason(s) why granting the exemption will not impair or impede the FDIC's ability to exercise its rights or fulfill its statutory obligations under 12 U.S.C. 5390(c)(8), (9), and (10).

(4) Granting exemptions. (i) Upon receipt of a written recommendation from the FDIC, prepared in consultation with the primary financial regulatory agency or agencies for the applicable records entity or entities, that takes into consideration each of the factors referenced in 12 U.S.C. 5390(c)(8)(H)(iv) and any other factors the FDIC considers appropriate, the Secretary may grant, in whole or in part, a conditional or unconditional exemption from compliance with one or more of the requirements of this part by issuing an exemption to one or more records entities.

(ii) In determining whether to grant an exemption to one or more records entities, including whether to grant a conditional or unconditional exemption, the Secretary will consider any factors deemed appropriate by the Secretary, including whether application of one or more requirements of this part is not necessary to achieve the purpose of this part as described in § 148.1(b).

(iii) If the FDIC does not submit, within 90 days of the date on which the FDIC and the Department of the Treasury received the exemption request, a written recommendation to the Secretary as to whether to grant or deny an exemption request, the Secretary will nevertheless determine whether to grant or deny the exemption request.

§ 148.4 Content of records.

Subject to § 148.3(c), a records entity must maintain the following records:

(a) The position level data listed in Table A-1 in appendix A to this part with respect to each QFC to which it is a party.

(b) The counterparty netting set data listed in Table A-2 in appendix A to this part for each netting set with respect to each QFC to which it is a party.

(c) The legal agreements information listed in Table A-3 in appendix A to this part with respect to each QFC to which it is a party.

(d) The collateral detail data listed in Table A-4 in appendix A to this part with respect to each QFC to which it is a party.

(e) The corporate organization master data lookup table in appendix A to this part for the records entity and each of its affiliates.

(f) The counterparty master data lookup table in appendix A to this part for each non-affiliated counterparty with respect to QFCs to which it is a party.

(g) The booking location master data lookup table in appendix A to this part for each booking location used with respect to QFCs to which it is a party.

(h) The safekeeping agent master data lookup table in the appendix to this part for each safekeeping agent used with respect to QFCs to which it is a party.

(i) All documents that govern QFC transactions between the records entity and each counterparty, including, without limitation, master agreements and annexes, schedules, netting agreements, supplements, or other modifications with respect to the agreements, confirmations for each open QFC position of the records entity that has been confirmed and all trade acknowledgments for each open QFC position that has not been confirmed, all credit support documents including, but not limited to, credit support annexes, guarantees, keep-well agreements, or net worth maintenance agreements that are relevant to one or more QFCs, and all assignment or novation documents, if applicable, including documents that confirm that all required consents, approvals, or other conditions precedent for such assignment or novation have been obtained or satisfied.

(j) A list of vendors directly supporting the QFC-related activities of the records entity and the vendors' contact information.

Appendix A Appendix A to Part 148—File Structure for Qualified Financial Contract Records

Table A-1—Position-Level Data

Field

Example

Instructions and data application

Definition

Validation

A1.1

As of date

2015-01-05

Provide data extraction date

YYYY-MM-DD

A1.2

Records entity identifier

999999999

Provide LEI for records entity. Information needed to review position-level data by records entity

Varchar(50)

Validated against CO.2.

A1.3

Position identifier

20058953

Provide a position identifier. Should be used consistently across all record entities within the corporate group. Use the unique transaction identifier if available. Information needed to readily track and distinguish positions

Varchar(100).

A1.4

Counterparty identifier

888888888

Provide a counterparty identifier. Use LEI if counterparty has one. Should be used consistently by all record entities within the corporate group. Information needed to identify counterparty by reference to Counterparty Master Table

Varchar(50)

Validated against CP.2.

A1.5

Internal booking location identifier

New York, New York

Provide office where the position is booked. Information needed to determine system on which the trade is booked and settled

Varchar(50)

Combination A1.2 + A1.5 + A1.6 should have a corresponding unique combination BL.2 + BL.3 + BL.4 entry in Booking Location Master Table.

A1.6

Unique booking unit or desk identifier

xxxxxx

Provide an identifier for unit or desk at which the position is booked. Information needed to help determine purpose of position

Varchar(50)

Combination A1.2 + A1.5 + A1.6 should have a corresponding unique combination BL.2 + BL.3 + BL.4 entry in Booking Location Master Table.

A1.7

Type of QFC

Credit, equity, foreign exchange, interest rate (including cross-currency), other commodity, securities repurchase agreement, securities lending, loan repurchase agreement, guarantee or other third party credit enhancement of a QFC

Provide type of QFC. Use unique product identifier if available. Information needed to determine the nature of the QFC

Varchar (100).

A1.7.1

Type of QFC covered by guarantee or other third party credit enhancement

Credit, equity, foreign exchange, interest rate (including cross-currency), other commodity, securities repurchase agreement, securities lending, or loan repurchase agreement

If QFC type is guarantee or other third party credit enhancement, provide type of QFC of the QFC that is covered by such guarantee or other third party credit enhancement. Use unique product identifier if available. If multiple asset classes are covered by the guarantee or credit enhancement, enter the asset classes separated by comma. If all the QFCs of the underlying QFC obligor identifier are covered by the guarantee or other third party credit enhancement, enter “All”

Varchar(500)

Only required if QFC type (A1.7) is a guarantee or other third party credit enhancement.

A1.7.2

Underlying QFC obligor identifier

888888888

If QFC type is guarantee or other third party credit enhancement, provide an identifier for the QFC obligor whose obligation is covered by the guarantee or other third party credit enhancement. Use LEI if underlying QFC obligor has one. Complete the counterparty master table with respect to a QFC obligor that is a non-affiliate

Varchar(50)

Only required if QFC asset type (A1.7) is a guarantee or other third party credit enhancement. Validated against CO.2 if affiliate or CP.2 if non-affiliate.

A1.8

Agreement identifier

xxxxxxxxx

Provide an identifier for the primary governing documentation, e.g., the master agreement or guarantee agreement, as applicable

Varchar(50)

Validated against A3.3.

A1.9

Netting agreement identifier

xxxxxxxxx

Provide an identifier for netting agreement. If this agreement is the same as provided in A1.8, use same identifier. Information needed to identify unique netting sets

Varchar(50)

Validated against A3.3.

A1.10

Netting agreement counterparty identifier

xxxxxxxxx

Provide a netting agreement counterparty identifier. Use same identifier as provided in A1.4 if counterparty and netting agreement counterparty are the same. Use LEI if netting agreement counterparty has one. Information needed to identify unique netting sets

Varchar(50)

Validated against CP.2.

A1.11

Trade date

2014-12-20

Provide trade or other commitment date for the QFC. Information needed to determine when the entity's rights and obligations regarding the position originated

YYYY-MM-DD.

A1.12

Termination date

2014-03-31

Provide date the QFC terminates or is expected to terminate, expire, mature, or when final performance is required. Information needed to determine when the entity's rights and obligations regarding the position are expected to end

YYYY-MM-DD.

A1.13

Next call, put, or cancellation date

2015-01-25

Provide next call, put, or cancellation date

YYYY-MM-DD.

A1.14

Next payment date

2015-01-25

Provide next payment date

YYYY-MM-DD.

A1.15

Local Currency Of Position

USD

Provide currency in which QFC is denominated. Use ISO currency code

Char(3).

A1.16

Current market value of the position in local currency

995000

Provide current market value of the position in local currency. In the case of a guarantee or other third party credit enhancements, provide the current mark-to-market expected value of the exposure. Information needed to determine the current size of the obligation or benefit associated with the QFC

Num (25,5).

A1.17

Current market value of the position in U.S. dollars

995000

In the case of a guarantee or other third party credit enhancements, provide the current mark-to-market expected value of the exposure. Information needed to determine the current size of the obligation/benefit associated with the QFC

Num (25,5).

A1.18

Asset Classification

1

Provide fair value asset classification under GAAP, IFRS, or other accounting principles or standards used by records entity. Provide “1” for Level 1, “2” for Level 2, or “3” for Level 3. Information needed to assess fair value of the position

Char(1).

A1.19

Notional or principal amount of the position in local currency

1000000

Provide the notional or principal amount, as applicable, in local currency. In the case of a guarantee or other third party credit enhancement, provide the maximum possible exposure. Information needed to help evaluate the position

Num (25,5).

A1.20

Notional or principal amount of the position In U.S. dollars

1000000

Provide the notional or principal amount, as applicable, in U.S. dollars. In the case of a guarantee or other third party credit enhancements, provide the maximum possible exposure. Information needed to help evaluate the position

Num (25,5).

A1.21

Covered by third-party credit enhancement agreement (for the benefit of the records entity)?

Y/N

Indicate whether QFC is covered by a guarantee or other third-party credit enhancement. Information needed to determine credit enhancement

Char(1)

Should be “Y” or “N.

A1.21.1

Third-party credit enhancement provider identifier (for the benefit of the records entity)

999999999

If QFC is covered by a guarantee or other third-party credit enhancement, provide an identifier for provider. Use LEI if available. Complete the counterparty master table with respect to a provider that is a non-affiliate

Varchar(50)

Required if A1.21 is “Y”. Validated against CP.2.

A1.21.2

Third-party credit enhancement agreement identifier (for the benefit of the records entity)

4444444

If QFC is covered by a guarantee or other third-party credit enhancement, provide an identifier for the agreement

Varchar(50)

Required if A1.21 is “Y.” Validated against A3.3.

A1.21.3

Covered by third-party credit enhancement agreement (for the benefit of the counterparty)?

Y/N

Indicate whether QFC is covered by a guarantee or other third-party credit enhancement. Information needed to determine credit enhancement

Char(1)

Should be “Y” or “N.

A1.21.4

Third-party credit enhancement provider identifier (for the benefit of the counterparty)

999999999

If QFC is covered by a guarantee or other third-party credit enhancement, provide an identifier for provider. Use LEI if available. Complete the counterparty master table with respect to a provider that is a non-affiliate

Varchar(50)

Required if A1.21.3 is “Y”. Validated against CO.2 or CP.2.

A1.21.5

Third-party credit enhancement agreement identifier (for the benefit of the counterparty)

4444444

If QFC is covered by a guarantee or other third-party credit enhancement, provide an identifier for agreement

Varchar(50)

Required if A1.21.3 is “Y”. Validated against A3.3.

A1.22

Related position of records entity

3333333

Use this field to link any related positions of the records entity. All positions that are related to one another should have same designation in this field

Varchar(100).

A1.23

Reference number for any related loan

9999999

Provide a unique reference number for any loan held by the records entity or a member of its corporate group related to the position (with multiple entries delimited by commas)

Varchar(500).

A1.24

Identifier of the lender of the related loan

999999999

For any loan recorded in A1.23, provide identifier for records entity or member of its corporate group that holds any related loan. Use LEI if entity has one

Varchar(500).

Table A-2—Counterparty Netting Set Data

Field

Example

Instructions and data application

Definition

Validation

A2.1

As of date

2015-01-05

Data extraction date

YYYY-MM-DD.

A2.2

Records entity identifier

999999999

Provide the LEI for the records entity

Varchar(50)

Validated against CO.2.

A2.3

Netting agreement counterparty identifier

888888888

Provide an identifier for the netting agreement counterparty. Use LEI if counterparty has one

Varchar(50)

Validated against CP.2.

A2.4

Netting agreement identifier

xxxxxxxxx

Provide an identifier for the netting agreement

Varchar(50)

Validated against A3.3.

A2.4.1

Underlying QFC obligor identifier

888888888

Provide identifier for underlying QFC obligor if netting agreement is associated with a guarantee or other third party credit enhancement. Use LEI if available

Varchar(50)

Validated against CO.2 or CP.2.

A2.5

Covered by third-party credit enhancement agreement (for the benefit of the records entity)?

Y/N

Indicate whether the positions subject to the netting set agreement are covered by a third-party credit enhancement agreement

Char(1)

Should be “Y” or “N.“

A2.5.1

Third-party credit enhancement provider identifier (for the benefit of the records entity)

999999999

Use LEI if available. Information needed to identity third-party credit enhancement provider

Varchar(50)

Required if A2.5 is “Y”. Validated against CP.2.

A2.5.2

Third-party credit enhancement agreement identifier (for the benefit of the records entity)

4444444

Varchar(50)

Required if A2.5 is “Y”. Validated against A3.3.

A2.5.3

Covered by third-party credit enhancement agreement (for the benefit of the counterparty)?

Y/N

Information needed to determine credit enhancement

Char(1)

Should be “Y” or “N.

A2.5.4

Third-party credit enhancement provider identifier (for the benefit of the counterparty)

999999999

Use LEI if available. Information needed to identity third-party credit enhancement provider

Varchar(50)

Required if A2.5.3 is “Y”. Should be a valid entry in the Counterparty Master Table. Validated against CP.2.

A2.5.5

Third-party credit enhancement agreement identifier (for the benefit of the counterparty)

4444444

Information used to determine guarantee or other third-party credit enhancement

Varchar(50)

Required if A2.5.3 is “Y”. Validated against A3.3.

A2.6

Aggregate current market value in U.S. dollars of all positions under this netting agreement

−1000000

Information needed to help evaluate the positions subject to the netting agreement

Num (25,5)

Market value of all positions in A1 for the given netting agreement identifier should be equal to this value. A2.6 = A2.7 + A2.8.

A2.7

Current market value in U.S. dollars of all positive positions, as aggregated under this netting agreement

3000000

Information needed to help evaluate the positions subject to the netting agreement

Num (25,5)

Market value of all positive positions in A1 for the given netting agreement identifier should be equal to this value. A2.6 = A2.7 + A2.8.

A2.8

Current market value in U.S. dollars of all negative positions, as aggregated under this netting agreement

−4000000

Information needed to help evaluate the positions subject to the netting agreement

Num (25,5)

Market value of all negative positions in A1 for the given Netting Agreement Identifier should be equal to this value. A2.6 = A2.7 + A2.8.

A2.9

Current market value in U.S. dollars of all collateral posted by records entity, as aggregated under this netting agreement

950000

Information needed to determine the extent to which collateral has been provided by records entity

Num (25,5)

Market value of all collateral posted by records entity for the given netting agreement Identifier should be equal to sum of all A4.9 for the same netting agreement identifier in A4.

A2.10

Current market value in U.S. dollars of all collateral posted by counterparty, as aggregated under this netting agreement

50000

Information needed to determine the extent to which collateral has been provided by counterparty

Num (25,5)

Market value of all collateral posted by counterparty for the given netting agreement identifier should be equal to sum of all A4.9 for the same netting agreement identifier in A4.

A2.11

Current market value in U.S. dollar of all collateral posted by records entity that is subject to re-hypothecation, as aggregated under this netting agreement

950000

Information needed to determine the extent to which collateral has been provided by records entity

Num (25,5).

A2.12

Current market value in U.S. dollars of all collateral posted by counterparty that is subject to re-hypothecation, as aggregated under this netting agreement

950000

Information needed to determine the extent to which collateral has been provided by records entity

Num (25,5).

A2.13

Records entity collateral—net

950000

Provide records entity's collateral excess or deficiency with respect to all of its positions, as determined under each applicable agreement, including thresholds and haircuts where applicable

Num (25,5)

Should be less than or equal to A2.9.

A2.14

Counterparty collateral—net

950000

Provide counterparty's collateral excess or deficiency with respect to all of its positions, as determined under each applicable agreement, including thresholds and haircuts where applicable

Num (25,5)

Should be less than or equal to A2.10.

A2.15

Next margin payment date

2015-11-05

Provide next margin payment date for position

YYYY-MM-DD.

A2.16

Next margin payment amount in U.S. dollars

150000

Use positive value if records entity is due a payment and use negative value if records entity has to make the payment

Num (25,5).

A2.17

Safekeeping agent identifier for records entity

888888888

Provide an identifier for the records entity's safekeeping agent, if any. Use LEI if safekeeping agent has one

Varchar(50)

Validated against SA.2.

A2.18

Safekeeping agent identifier for counterparty

888888888

Provide an identifier for the counterparty's safekeeping agent, if any. Use LEI if safekeeping agent has one

Varchar(50)

Validated against SA.2.

Table A-3—Legal Agreements

Field

Example

Instructions and data application

Definition

Validation

A3.1

As Of Date

2015-01-05

Data extraction date

YYYY-MM-DD.

A3.2

Records entity identifier

999999999

Provide LEI for records entity

Varchar(50)

Validated against CO.2.

A3.3

Agreement identifier

xxxxxx

Provide identifier for each master agreement, governing document, netting agreement or third-party credit enhancement agreement

Varchar(50).

A3.4

Name of agreement or governing document

ISDA Master 1992 or Guarantee Agreement or Master Netting Agreement

Provide name of agreement or governing document

Varchar(50).

A3.5

Agreement date

2010-01-25

Provide the date of the agreement

YYYY-MM-DD.

A3.6

Agreement counterparty identifier

888888888

Use LEI if counterparty has one. Information needed to identify counterparty

Varchar(50)

Validated against field CP.2.

A3.6.1

Underlying QFC obligor identifier

888888888

Provide underlying QFC obligor identifier if document identifier is associated with a guarantee or other third party credit enhancement. Use LEI if underlying QFC obligor has one

Varchar(50)

Validated against CO.2 or CP.2.

A3.7

Agreement governing law

New York

Provide law governing contract disputes

Varchar(50).

A3.8

Cross-default provision?

Y/N

Specify whether agreement includes default or other termination event provisions that reference an entity not a party to the agreement (“cross-default Entity”). Information needed to determine exposure to affiliates or other entities

Char(1)

Should be “Y” or “N.

A3.9

Identity of cross-default entities

777777777

Provide identity of any cross-default entities referenced in A3.8. Use LEI if entity has one. Information needed to determine exposure to other entities

Varchar(500)

Required if A3.8 is “Y”. ID should be a valid entry in Corporate Org Master Table or Counterparty Master Table, if applicable. Multiple entries comma separated.

A3.10

Covered by third-party credit enhancement agreement (for the benefit of the records entity)?

Y/N

Information needed to determine credit enhancement

Char(1)

Should be “Y” or “N.”

A3.11

Third-party credit enhancement provider identifier (for the benefit of the records entity)

999999999

Use LEI if available. Information needed to identity Third-Party Credit Enhancement Provider

Varchar(50)

Required if A3.10 is “Y”. Should be a valid entry in the Counterparty Master Table. Validated against CP.2.

A3.12

Associated third-party credit enhancement agreement document identifier (for the benefit of the records entity)

33333333

Information needed to determine credit enhancement

Varchar(50)

Required if A3.10 is “Y”. Validated against field A3.3.

A3.12.1

Covered by third-party credit enhancement agreement (for the benefit of the counterparty)?

Y/N

Information needed to determine credit enhancement

Char(1)

Should be “Y” or “N.”

A3.12.2

Third-party credit enhancement provider identifier (for the benefit of the counterparty)

999999999

Use LEI if available. Information needed to identity Third-Party Credit Enhancement Provider

Varchar(50)

Required if A3.12.1 is “Y”. Should be a valid entry in the Counterparty Master. Validated against CP.2.

A3.12.3

Associated third-party credit enhancement agreement document identifier (for the benefit of the counterparty)

33333333

Information needed to determine credit enhancement

Varchar(50)

Required if A3.12.1 is “Y”. Validated against field A3.3.

A3.13

Counterparty contact information: name

John Doe & Co

Provide contact name for counterparty as provided under notice section of agreement

Varchar(200).

A3.14

Counterparty contact information: address

123 Main St, City, State Zip code

Provide contact address for counterparty as provided under notice section of agreement

Varchar(100).

A3.15

Counterparty contact information: phone

1-999-999-9999

Provide contact phone number for counterparty as provided under notice section of agreement

Varchar(50).

A3.16

Counterparty's contact information: email address

[email protected]

Provide contact email address for counterparty as provided under notice section of agreement

Varchar(100).

Table A-4—Collateral Detail Data

Field

Example

Instructions and data application

Definition

Validation

A4.1

As of date

2015-01-05

Data extraction date

YYYY-MM-DD.

A4.2

Records entity identifier

999999999

Provide LEI for records entity

Varchar(50)

Validated against CO.2.

A4.3

Collateral posted/collateral received flag

P/N

Enter “P” if collateral has been posted by the records entity. Enter “R” for collateral received by Records Entity

Char(1).

A4.4

Counterparty identifier

888888888

Provide identifier for counterparty. Use LEI if counterparty has one

Varchar(50)

Validated against CP.2.

A4.5

Netting agreement identifier

xxxxxxxxx

Provide identifier for applicable netting agreement

Varchar(50)

Validated against field A3.3.

A4.6

Unique collateral item identifier

CUSIP/ISIN

Provide identifier to reference individual collateral posted

Varchar(50).

A4.7

Original face amount of collateral item in local currency

1500000

Information needed to evaluate collateral sufficiency and marketability

Num (25,5)

A4.8

Local currency of collateral item

USD

Use ISO currency code

Char(3).

A4.9

Market value amount of collateral item in U.S. dollars

850000

Information needed to evaluate collateral sufficiency and marketability and to permit aggregation across currencies

Num (25,5)

Market value of all collateral posted by Records Entity or Counterparty A2.9 or A2.10 for the given netting agreement identifier should be equal to sum of all A4.9 for the same netting agreement identifier in A4.

A4.10

Description of collateral item

U.S. Treasury Strip, maturity 2020/6/30

Information needed to evaluate collateral sufficiency and marketability

Varchar(200).

A4.11

Asset classification

1

Provide fair value asset classification for the collateral item under GAAP, IFRS, or other accounting principles or standards used by records entity. Provide “1” for Level 1, “2” for Level 2, or “3” for Level 3

Char(1)

Should be “1” or “2” or “3.”

A4.12

Collateral or portfolio segregation status

Y/N

Specify whether the specific item of collateral or the related collateral portfolio is segregated from assets of the safekeeping agent

Char(1)

Should be “Y” or “N.”

A4.13

Collateral location

ABC broker-dealer (in safekeeping account of counterparty)

Provide location of collateral posted

Varchar(200).

A4.14

Collateral jurisdiction

New York, New York

Provide jurisdiction of location of collateral posted

Varchar(50).

A4.15

Is collateral re-hypothecation allowed?

Y/N

Information needed to evaluate exposure of the records entity to the counterparty or vice-versa for re-hypothecated collateral

Char(1)

Should be “Y” or “N.”

Corporate Organization Master Table 1

Field

Example

Instructions and data application

Definition

Validation

CO.1

As of date

2015-01-05

Data extraction date

YYYY-MM-DD.

CO.2

Entity identifier

888888888

Provide unique identifier. Use LEI if available. Information needed to identify entity

Varchar(50)

Should be unique across all record entities.

CO.3

Has LEI been used for entity identifier?

Y/N

Specify whether the entity identifier provided is an LEI

Char(1)

Should be “Y” or “N.”

CO.4

Legal name of entity

John Doe & Co

Provide legal name of entity

Varchar(200).

CO.5

Immediate parent entity identifier

77777777

Use LEI if available. Information needed to complete org structure

Varchar(50).

CO.6

Has LEI been used for immediate parent entity identifier?

Y/N

Specify whether the immediate parent entity identifier provided is an LEI

Char(1)

Should be “Y” or “N.”

CO.7

Legal name of immediate parent entity

John Doe & Co

Information needed to complete org structure

Varchar(200).

CO.8

Percentage ownership of immediate parent entity in the entity

100.00

Information needed to complete org structure

Num (5,2).

CO.9

Entity type

Subsidiary, foreign branch, foreign division

Information needed to complete org structure

Varchar(50).

CO.10

Domicile

New York, New York

Enter as city, state or city, foreign country

Varchar(50).

CO.11

Jurisdiction under which incorporated or organized

New York

Enter as state or foreign jurisdiction

Varchar(50).

CO.12

Reporting status

REN

Indicate one of the following, as appropriate, given status of entity under the this part. Information needed to validate compliance with the requirements of this part REN = Records entity (reporting). NFC= Non-financial company (not reporting) EXC = Excluded entity (not reporting) ZER = Records entity with 0 QFCs (not reporting) DEM = Records entity de minimis exemption (not reporting) OTH = Records entity using another exemption (not reporting)

Char(3)

Should be “REN” or “NFC” or “EXC” or “DEM” or “ZER” or “OTH.”

1 Foreign branches and divisions shall be separately identified to the extent they are identified in an entity's reports to its PFRAs.

Counterparty Master Table

Field

Example

Instructions and data application

Definition

Validation

CP.1

As of date

2015-01-05

Data extraction date

YYYY-MM-DD.

CP.2

Counterparty identifier

888888888

Use LEI if counterparty has one. Should be used consistently across all records entities within a corporate group. The counterparty identifier shall be the global legal entity identifier if one has been issued to the entity. If a counterparty transacts with the records entity through one or more separate foreign branches or divisions and any such branch or division does not have its own unique global legal entity identifier, the records entity must include additional identifiers, as appropriate to enable the FDIC to aggregate or disaggregate the data for each counterparty and for each entity with the same ultimate parent entity as the counterparty

Varchar(50).

CP.3

Has LEI been used for counterparty identifier?

Y/N

Indicate whether the counterparty identifier is an LEI

Char(1)

Should be “Y” or “N.”

CP.4

Legal name of counterparty

John Doe & Co

Information needed to identify and, if necessary, communicate with counterparty

Varchar(200).

CP.5

Domicile

New York, New York

Enter as city, state or city, foreign country

Varchar(50).

CP.6

Jurisdiction under which incorporated or organized

New York

Enter as state or foreign jurisdiction

Varchar(50).

CP.7

Immediate parent entity identifier

77777777

Provide an identifier for the parent entity that directly controls the counterparty. Use LEI if immediate parent entity has one

Varchar(50).

CP.8

Has LEI been used for immediate parent entity identifier?

Y/N

Indicate whether the immediate parent entity identifier is an LEI

Char(1)

Should be “Y” or “N.”

CP.9

Legal name of immediate parent entity

John Doe & Co

Information needed to identify and, if necessary, communicate with counterparty

Varchar(200).

CP.10

Ultimate parent entity identifier

666666666

Provide an identifier for the parent entity that is a member of the corporate group of the counterparty that is not controlled by another entity. Information needed to identify counterparty. Use LEI if ultimate parent entity has one

Varchar(50)

CP.11

Has LEI been used for ultimate parent entity identifier?

Y/N

Indicate whether the ultimate parent entity identifier is an LEI

Char(1)

Should be “Y” or “N.”

CP.12

Legal name of ultimate parent entity

John Doe & Co

Information needed to identify and, if necessary, communicate with counterparty

Varchar(100).

Booking Location Master Table

Field

Example

Instructions and data application

Definition

Validation

BL.1

As of date

2015-01-05

Data extraction date

YYYY-MM-DD.

BL.2

Records entity identifier

999999999

Provide LEI

Varchar(50)

Should be a valid entry in the Corporate Org Master Table.

BL.3

Internal booking location identifier

New York, New York

Provide office where the position is booked. Information needed to determine the headquarters or branch where the position is booked, including the system on which the trade is booked, as well as the system on which the trade is settled

Varchar(50).

BL.4

Unique booking unit or desk identifier

xxxxxx

Provide unit or desk at which the position is booked. Information needed to help determine purpose of position

Varchar(50).

BL.5

Unique booking unit or desk description

North American trading desk

Additional information to help determine purpose of position

Varchar(50).

BL.6

Booking unit or desk contact—phone

1-999-999-9999

Information needed to communicate with the booking unit or desk

Varchar(50).

BL.7

Booking unit or desk contact—email

[email protected]

Information needed to communicate with the booking unit or desk

Varchar(100).

Safekeeping Agent Master Table

Field

Example

Instructions and data application

Definition

Validation

SA.1

As of date

2015-01-05

Data extraction date

YYYY-MM-DD

SA.2

Safekeeping agent identifier

888888888

Provide an identifier for the safekeeping agent. Use LEI if safekeeping agent has one

Varchar(50).

SA.3

Legal name of safekeeping agent

John Doe & Co

Information needed to identify and, if necessary, communicate with the safekeeping agent

Varchar(200).

SA.4

Point of contact—name

John Doe

Information needed to identify and, if necessary, communicate with the safekeeping agent

Varchar(200).

SA.5

Point of contact—address

123 Main St, City, State Zip Code

Information needed to identify and, if necessary, communicate with the safekeeping agent

Varchar(100).

SA.6

Point of contact—phone

1-999-999-9999

Information needed to identify and, if necessary, communicate with the safekeeping agent

Varchar(50).

SA.7

Point of contact—email

[email protected]

Information needed to identify and, if necessary, communicate with the safekeeping agent

Varchar(100).

Details of Formats

Format

Content in brief

Additional explanation

Examples

YYYY-MM-DD

Date

YYYY = four digit date, MM = 2 digit month, DD = 2 digit date

2015-11-12

Num (25,5)

Up to 25 numerical characters including 5 decimals

Up to 20 numerical characters before the decimal point and up to 5 numerical characters after the decimal point. The dot character is used to separate decimals

1352.67 12345678901234567890.12345 0 −20000.25 −0.257

Char(3)

3 alphanumeric characters

The length is fixed at 3 alphanumeric characters

USD X1X 999

Varchar(25)

Up to 25 alphanumeric characters

The length is not fixed but limited at up to 25 alphanumeric characters

asgaGEH3268EFdsagtTRCF543