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

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

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 if available. 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. 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. 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).
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).
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).
A1.8 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 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.
A1.9 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.
A1.10 Agreement identifier xxxxxxxxx Provide an identifier for primary governing documentation, e.g. the master agreement or guarantee agreement, as applicable Varchar(50).
A1.11 Netting agreement identifier xxxxxxxxx Provide 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 sets Varchar(50).
A1.12 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
A1.13 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.
A1.14 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.
A1.15 Next call, put, or cancellation date 2015-01-25 Provide next call, put, or cancellation date YYYY-MM-DD.
A1.16 Next payment date 2015-01-25 Provide next payment date YYYY-MM-DD.
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 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).
A1.19 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“
A1.20 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 A1.20 is “Y”. Validated against CP.2
A1.21 Third-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 agreement Varchar(50) Required if A1.20 is “Y”.
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
Def 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 if available 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).
A2.5 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.
A2.6 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”.
A2.7 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 A2.6 is “Y”. Should be a valid entry in the Counterparty Master Table. Validated against CP.2.
A2.8 Third-party credit enhancement agreement identifier (for the benefit of the records entity) 4444444 Varchar(50) Required if A2.6 is “Y”.
A2.9 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. A2.9 = A2.10 + A2.11.
A2.10 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. A2.9 = A2.10 + A2.11.
A2.11 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. A2.9 = A2.10 + A2.11.
A2.12 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).
A2.13 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).
A2.14 Records entity collateral - net 950,000 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 A2.15.
A2.15 Counterparty collateral - net 950,000 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 A2.16.
A2.16 Next margin payment date 2015-11-05 Provide next margin payment date for position YYYY-MM-DD.
A2.17 Next margin payment amount in U.S. dollars 150,000 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).

Corporate Organization Master Table *

Field Example Instructions and data
application
Def 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).

* 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

Field Example Instructions and data
application
Def 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
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).

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

This is a list of United States Code sections, Statutes at Large, Public Laws, and Presidential Documents, which provide rulemaking authority for this CFR Part.

This list is taken from the Parallel Table of Authorities and Rules provided by GPO [Government Printing Office].

It is not guaranteed to be accurate or up-to-date, though we do refresh the database weekly. More limitations on accuracy are described at the GPO site.


United States Code