Violating the terms or requirements of the recordkeeping requirements set forth in this part constitutes a violation of a regulation and subjects the participating entity to enforcement actions under Section 8 of the FDI Act (12 U.S.C. 1818).
Sec. Appendix A to Part 371--File Structure for Qualified Financial
Contract (QFC) Records
QFC Recordkeeping Requirements
A. Electronic Files To Be Maintained for QFCs
Any insured depository institution that is subject to this part (``institution'') must produce and maintain, in an electronic file in a format acceptable to the FDIC, the position level data found in Table A1 for all open positions in QFCs entered into by that institution or for which the institution is subject. To fulfill this requirement, not later than three business days after the institution's receipt of the written notification from the FDIC under Sec. 371.1(c) of this part, the institution must provide the FDIC with (i) a directory of the electronic files that will be used by the institution to maintain the position level data found in Table A1 and (ii) a point of contact at the institution should the FDIC have follow-up questions concerning this information. In addition, for such data, the institution must produce at the close of processing of the institution's business day a report in a format acceptable to the FDIC that aggregates the current market value and the amount of QFCs by each of the fields in Table A1. The institution must produce the report within 60 days of a written notification by the FDIC for the period specified in the notification. Notwithstanding the above requirements, for institutions in a troubled condition with less than twenty open QFC positions upon receipt of the written notification from the FDIC or the institution's appropriate Federal banking agency under part 371 and this appendix, the data required in Table A1 are not required to be recorded and maintained in electronic form as would otherwise be required by this part, so long as all required information is capable of being updated on a daily basis. If at any time after receiving such notification an institution has twenty or more open QFC positions at any point in time, it must within 60 days after that first occurs, comply with all provisions of part 371.
Table A1--Position-Level Data------------------------------------------------------------------------
Field Example Data application------------------------------------------------------------------------Unique position identifier and 999999999AU...... Information needed to
CUSIP, if available. readily track and
distinguish
positions; unique
trade confirmation
number if available.Portfolio location identifier XY12Z............ Information needed to
(to identify the headquarters determine the
or branch where the position headquarters or
is booked). branch where the
position is booked
(see section B.1 of
this Appendix).Type of position (including Interest rate Information needed to
the general nature of the swap, credit determine the extent
reference asset or interest default swap, to which the
rate). equity swap, institution is
foreign exchange involved in any
forward, particular QFC
securities market.
repurchase
agreement, loan
repurchase
agreement.Purpose of the position (if Trading, hedging Information needed to
the purpose consists of mortgage determine the role
hedging strategies, include servicing, of the QFC in the
the general category of the hedging institution's
item(s) hedged). certificates of business strategy.
deposit.Termination date (date the 3/31/2010........ Information needed to
position terminates or is determine when the
expected to terminate, institution's rights
expire, mature, or when final and obligations
performance is required). regarding the
position are
expected to end.Next call, put, or 9/30/08.......... Information needed to
cancellation date. determine when a
call, put, or
cancellation may
occur with respect
to a position.Next payment date............. 9/30/08.......... Information needed to
anticipate potential
upcoming
obligations.Current market value of the $995,000......... Information needed to
position (as of the date of determine if the
the file). institution is in or
out-of-the money
with the
counterparty.Unique counterparty identifier AB999C........... Information needed to
aggregate positions
by counterparty.Notional or principal amount $1,000,000....... Information needed to
of the position (this is the help evaluate the
notional amount, where position.
applicable).Documentation status of Affirmed, Information needed to
position. confirmed, or determine
neither affirmed reliability of a
nor confirmed. booked position and
its legal status.------------------------------------------------------------------------ Also, the institution must maintain, in an electronic file in a format acceptable to the FDIC, the counterparty-level data found in Table A2 for all open positions in QFCs entered into by that institution. In addition, the institution must, at the FDIC's written request, produce immediately at the close of processing of the institution's business day, for a period provided in that written request, a report in a format acceptable to the FDIC that (i) itemizes, by each counterparty and by each of its affiliates, the data required in each field in Table A2, and (ii) aggregates by field, for each counterparty and its affiliates, the data required in each field in Table A2. Notwithstanding the above requirements, for institutions in a troubled condition with less than twenty open QFC positions upon receipt of the written notification from the FDIC or the institution's appropriate Federal banking agency under part 371 and this Appendix, the data required in Table A2 is not required to be recorded in electronic form as would otherwise be required by this part, so long as all required information is maintained and is capable of being updated on a daily basis. If at any time after receiving such notification an institution has twenty or more open QFC positions at any point in time, it must within 60 days after that first occurs, comply with all provisions of part 371.
Table A2--Counterparty-Level Data------------------------------------------------------------------------
Field Example Data Application------------------------------------------------------------------------Unique counterparty identifier AB999C........... Information needed to
aggregate positions
by counterparty.
Current market value of all ($1,000,000)..... Information needed to
positions, as aggregated and, help evaluate the
to the extent permitted under positions.
each applicable agreement,
netted \29\ (as of the date
of the file).Current market value of all $950,000; U.S. Information needed to
collateral and the type of treasuries. determine the extent
collateral, if any, that the to which the
institution has posted institution has
against all positions with provided collateral.
each counterparty.Current market value of all $50,000; U.S. Information needed to
collateral and the type of treasuries. determine the extent
collateral, if any, that the to which the
counterparty has posted counterparty has
against all positions. provided collateral.Institution's collateral ($25,000)........ Information needed to
excess or deficiency with determine the extent
respect to all of the to which the
institution's positions, as institution has
determined under each satisfied collateral
applicable agreement requirements under
including thresholds and each applicable
haircuts where applicable agreement.
\30\.Counterparty's collateral $50,000.......... Information needed to
excess or deficiency with determine the extent
respect to all of the to which the
institution's positions with counterparty has
each counterparty, as satisfied collateral
determined under each requirements under
applicable agreement each applicable
including thresholds and agreement.
haircuts where applicable.The institution's collateral ($50,000)........ Information needed to
excess or deficiency with determine the extent
respect to all the positions, to which the
based on the aggregate market institution's
value of the positions (after obligations
netting to the extent regarding the
permitted under each positions may be
applicable agreement) and the unsecured.
aggregate market value of all
collateral posted by the
institution against the
positions, in whole or in
part.------------------------------------------------------------------------\29\ If one or more positions cannot be netted against others, they
should be maintained as separate entries.\30\ If all positions are not secured by the same collateral, then
separate entries should be maintained for each position or set of
positions secured by the same collateral. B. Other Files (in Written or Electronic Form) To Be Maintained for QFCs
Within 60 days after the written notification by the FDIC, the institution must, produce the following files at the close of processing of the institution's business day, for a period provided in that written notification.
1. Each institution must maintain the following files in written or electronic form:
A list of counterparty identifiers, with the associated counterparties and contact information;
A list of the affiliates of the counterparties that are also counterparties to QFC transactions with the institution or its affiliates, and the specific master netting agreements, if any, under which they are counterparties;
A list of affiliates of the institution that are counterparties to QFC transactions where such transactions are subject to a master agreement that also governs QFC transactions entered into by the institution. Such list must specify (i) which affiliates are direct or indirect subsidiaries of the institution and (ii) the specific master agreements under which those affiliates are counterparties to QFC transactions; and
A list of portfolio identifiers (see Table A1), with the associated booking locations.
2. For each QFC, the institution must maintain in a readily-accessible format all of the following documents:
Agreements (including master agreements and annexes, supplements or other modifications with respect to the agreements) between the institution and its counterparties that govern the QFC transactions;
Documents related to and affirming the position;
Active or ``open'' confirmations, if the position has been confirmed;
Credit support documents; and
Assignment documents, if applicable, including documents that confirm that all required consents, approvals, or other conditions precedent for such assignment(s) have been obtained or satisfied.
3. The institution must maintain:
A legal-entity organizational chart, showing the institution, its corporate parent and all other affiliates, if any; and
An organizational chart, including names and position titles, of all personnel significantly involved in QFC-related activities at the institution, its parent and its affiliates.
Contact information for the primary contact person for purposes of compliance with this part by the institution.
4. The institution must maintain a list of vendors supporting the QFC-related activities and their contact information.