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e-CFR data is current as of September 17, 2020

Title 12Chapter IIISubchapter BPart 371 → Appendix


Title 12: Banks and Banking
PART 371—RECORDKEEPING REQUIREMENTS FOR QUALIFIED FINANCIAL CONTRACTS


Appendix A to Part 371—File Structure for Qualified Financial Contract (QFC) Records for Limited Scope Entities

Table A-1—Position-Level Data

   FieldExampleInstructions and data
application
DefinitionValidation
A1.1As of date2015-01-05Provide data extraction dateYYYY-MM-DD
A1.2Records entity identifier999999999Provide LEI for records entity if available. Information needed to review position-level data by records entityVarchar(50)Validated against CO.2.
A1.3Position identifier20058953Provide a position identifier. Use the unique transaction identifier if available. Information needed to readily track and distinguish positionsVarchar(100).
A1.4Counterparty identifier888888888Provide a counterparty identifier. Use LEI if counterparty has one. Information needed to identify counterparty by reference to Counterparty Master TableVarchar(50)Validated against CP.2.
A1.5Internal booking location identifierNew York, New YorkProvide office where the position is booked. Information needed to determine system on which the trade is booked and settledVarchar(50).
A1.6Unique booking unit or desk identifierxxxxxxProvide an identifier for unit or desk at which the position is booked. Information needed to help determine purpose of positionVarchar(50).
A1.7Type of QFCCredit, 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 QFCProvide type of QFC. Use unique product identifier if available. Information needed to determine the nature of the QFCVarchar(100).
A1.8Type of QFC covered by guarantee or other third party credit enhancementCredit, equity, foreign exchange, interest rate (including cross-currency), other commodity, securities repurchase agreement, securities lending, or loan repurchase agreementIf QFC type is guarantee or other third party credit enhancement, provide type of 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(200)Only required if QFC type (A1.7) is a guarantee or other third party credit enhancement.
A1.9Underlying QFC obligor identifier888888888If 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-affiliateVarchar(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.
A1.10Agreement identifierxxxxxxxxxProvide an identifier for primary governing documentation, e.g. the master agreement or guarantee agreement, as applicableVarchar(50).
A1.11Netting agreement identifierxxxxxxxxxProvide an identifier for netting agreement. If this agreement is the same as provided in A1.10, use same identifier. Information needed to identify unique netting setsVarchar(50).
A1.12Netting agreement counterparty identifierxxxxxxxxxProvide 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 setsVarchar(50)Validated against CP.2
A1.13Trade date2014-12-20Provide trade or other commitment date for the QFC. Information needed to determine when the entity's rights and obligations regarding the position originatedYYYY-MM-DD.
A1.14Termination date2014-03-31Provide 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 endYYYY-MM-DD.
A1.15Next call, put, or cancellation date2015-01-25Provide next call, put, or cancellation dateYYYY-MM-DD.
A1.16Next payment date2015-01-25Provide next payment dateYYYY-MM-DD.
A1.17Current market value of the position in U.S. dollars995000In 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 QFCNum (25,5).
A1.18Notional or principal amount of the position In U.S. dollars1000000Provide 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 positionNum (25,5).
A1.19Covered by third-party credit enhancement agreement (for the benefit of the records entity)?Y/NIndicate whether QFC is covered by a guarantee or other third-party credit enhancement. Information needed to determine credit enhancementChar(1)Should be “Y” or “N“
A1.20Third-party credit enhancement provider identifier (for the benefit of the records entity)999999999If 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-affiliateVarchar(50)Required if A1.20 is “Y”. Validated against CP.2
A1.21Third-party credit enhancement agreement identifier (for the benefit of the records entity)If QFC is covered by a guarantee or other third-party credit enhancement, provide an identifier for the agreementVarchar(50)Required if A1.20 is “Y”.
A1.22Related position of records entity3333333Use 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 fieldVarchar(100).
A1.23Reference number for any related loan9999999Provide 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).
A1.24Identifier of the lender of the related loan999999999For 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 oneVarchar(500).

Table A-2—Counterparty Netting Set Data

   FieldExampleInstructions and data
application
DefValidation
A2.1As of date2015-01-05Data extraction dateYYYY-MM-DD
A2.2Records entity identifier999999999Provide the LEI for the records entity if availableVarchar(50)Validated against CO.2.
A2.3Netting agreement counterparty identifier888888888Provide an identifier for the netting agreement counterparty. Use LEI if counterparty has oneVarchar(50)Validated against CP.2.
A2.4Netting agreement identifierxxxxxxxxxProvide an identifier for the netting agreementVarchar(50).
A2.5Underlying QFC obligor identifier888888888Provide identifier for underlying QFC obligor if netting agreement is associated with a guarantee or other third party credit enhancement. Use LEI if availableVarchar(50)Validated against CO.2 or CP.2.
A2.6Covered by third-party credit enhancement agreement (for the benefit of the records entity)?Y/NIndicate whether the positions subject to the netting set agreement are covered by a third-party credit enhancement agreementChar(1)Should be “Y” or “N”.
A2.7Third-party credit enhancement provider identifier (for the benefit of the records entity)999999999Use LEI if available. Information needed to identity third-party credit enhancement providerVarchar(50)Required if A2.6 is “Y”. Should be a valid entry in the Counterparty Master Table. Validated against CP.2.
A2.8Third-party credit enhancement agreement identifier (for the benefit of the records entity)4444444Varchar(50)Required if A2.6 is “Y”.
A2.9Aggregate current market value in U.S. dollars of all positions under this netting agreement-1000000Information needed to help evaluate the positions subject to the netting agreementNum (25,5)Market value of all positions in A1 for the given netting agreement identifier should be equal to this value. A2.9 = A2.10 + A2.11.
A2.10Current market value in U.S. dollars of all positive positions, as aggregated under this netting agreement3000000Information needed to help evaluate the positions subject to the netting agreementNum (25,5)Market value of all positive positions in A1 for the given netting agreement identifier should be equal to this value. A2.9 = A2.10 + A2.11.
A2.11Current market value in U.S. dollars of all negative positions, as aggregated under this netting agreement-4000000Information needed to help evaluate the positions subject to the netting agreementNum (25,5)Market value of all negative positions in A1 for the given Netting Agreement Identifier should be equal to this value. A2.9 = A2.10 + A2.11.
A2.12Current market value in U.S. dollars of all collateral posted by records entity, as aggregated under this netting agreement950000Information needed to determine the extent to which collateral has been provided by records entityNum (25,5).
A2.13Current market value in U.S. dollars of all collateral posted by counterparty, as aggregated under this netting agreement50000Information needed to determine the extent to which collateral has been provided by counterpartyNum (25,5).
A2.14Records entity collateral—net950,000Provide 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 applicableNum (25,5)Should be less than or equal to A2.15.
A2.15Counterparty collateral—net950,000Provide counterparty's collateral excess or deficiency with respect to all of its positions, as determined under each applicable agreement, including thresholds and haircuts where applicableNum (25,5)Should be less than or equal to A2.16.
A2.16Next margin payment date2015-11-05Provide next margin payment date for positionYYYY-MM-DD.
A2.17Next margin payment amount in U.S. dollars150,000Use positive value if records entity is due a payment and use negative value if records entity has to make the paymentNum (25,5).

Corporate Organization Master Table*

   FieldExampleInstructions and data
application
DefValidation
CO.1As of date2015-01-05Data extraction dateYYYY-MM-DD.
CO.2Entity identifier888888888Provide unique identifier. Use LEI if available. Information needed to identify entityVarchar(50)Should be unique across all record entities.
CO.3Has LEI been used for entity identifier?Y/NSpecify whether the entity identifier provided is an LEI.Char(1)Should be “Y” or “N”.
CO.4Legal name of entityJohn Doe & Co.Provide legal name of entityVarchar(200).
CO.5Immediate parent entity identifier77777777Use LEI if available. Information needed to complete org structureVarchar(50).
CO.6Has LEI been used for immediate parent entity identifier?Y/NSpecify whether the immediate parent entity identifier provided is an LEIChar(1)Should be “Y” or “N”.
CO.7Legal name of immediate parent entityJohn Doe & Co.Information needed to complete org structureVarchar(200).
CO.8Percentage ownership of immediate parent entity in the entity100.00Information needed to complete org structureNum (5,2).
CO.9Entity typeSubsidiary, foreign branch, foreign divisionInformation needed to complete org structureVarchar(50).
CO.10DomicileNew York, New YorkEnter as city, state or city, foreign countryVarchar(50).
CO.11Jurisdiction under which incorporated or organizedNew YorkEnter as state or foreign jurisdictionVarchar(50).

*Foreign branches and divisions shall be separately identified to the extent they are identified in an entity's reports to its appropriate Federal banking agency.

Counterparty Master Table

   FieldExampleInstructions and data
application
DefValidation
CP.1As of date2015-01-05Data extraction dateYYYY-MM-DD.
CP.2Counterparty identifier888888888Use LEI if counterparty has one
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.3Has LEI been used for counterparty identifier?Y/NIndicate whether the counterparty identifier is an LEIChar(1)Should be “Y” or “N”.
CP.4Legal name of counterpartyJohn Doe & CoInformation needed to identify and, if necessary, communicate with counterpartyVarchar(200).
CP.5DomicileNew York, New YorkEnter as city, state or city, foreign countryVarchar(50).
CP.6Jurisdiction under which incorporated or organizedNew YorkEnter as state or foreign jurisdictionVarchar(50).
CP.7Immediate parent entity identifier77777777Provide an identifier for the parent entity that directly controls the counterparty. Use LEI if immediate parent entity has oneVarchar(50).
CP.8Has LEI been used for immediate parent entity identifier?Y/NIndicate whether the immediate parent entity identifier is an LEIChar(1)Should be “Y” or “N”.
CP.9Legal name of immediate parent entityJohn Doe & CoInformation needed to identify and, if necessary, communicate with counterpartyVarchar(200).
CP.10Ultimate parent entity identifier666666666Provide 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 oneVarchar(50).
CP.11Has LEI been used for ultimate parent entity identifier?Y/NIndicate whether the ultimate parent entity identifier is an LEIChar(1)Should be “Y” or “N”.
CP.12Legal name of ultimate parent entityJohn Doe & CoInformation needed to identify and, if necessary, communicate with counterpartyVarchar(100).

Details of Formats

FormatContent in briefAdditional explanationExamples
YYYY-MM-DDDateYYYY = four digit date, MM = 2 digit month, DD = 2 digit date2015-11-12
Num (25,5)Up to 25 numerical characters including 5 decimalsUp 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 charactersThe length is fixed at 3 alphanumeric charactersUSD
X1X
999
Varchar(25)Up to 25 alphanumeric charactersThe length is not fixed but limited at up to 25 alphanumeric charactersasgaGEH3268EFdsagtTRCF543

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