Recordkeeping Requirements for Qualified Financial Contracts; Proposed Rule and Notice, 43635-43643 [E8-16951]

Agencies

• FEDERAL DEPOSIT INSURANCE CORPORATION

[Federal Register Volume 73, Number 145 (Monday, July 28, 2008)]
[Proposed Rules]
[Pages 43635-43643]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: E8-16951]


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Proposed Rules
                                                Federal Register
________________________________________________________________________

This section of the FEDERAL REGISTER contains notices to the public of 
the proposed issuance of rules and regulations. The purpose of these 
notices is to give interested persons an opportunity to participate in 
the rule making prior to the adoption of the final rules.

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Federal Register / Vol. 73, No. 145 / Monday, July 28, 2008 / 
Proposed Rules

[[Page 43635]]



FEDERAL DEPOSIT INSURANCE CORPORATION

12 CFR Part 370

RIN 3064-AD30


Recordkeeping Requirements for Qualified Financial Contracts; 
Proposed Rule and Notice

AGENCY: Federal Deposit Insurance Corporation (FDIC).

ACTION: Notice of proposed rulemaking.

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SUMMARY: The FDIC proposes recordkeeping requirements for qualified 
financial contracts (QFCs) held by insured depository institutions in a 
troubled condition as defined in this proposed rule. The appendix to 
the proposed rule would require an institution in a troubled condition, 
upon written notification by the FDIC, to produce immediately at the 
close of processing of the institution's business day, for a period 
provided in the notification, electronic files for certain position 
level and counterparty level data; electronic or written lists of QFC 
counterparty and portfolio location identifiers, certain affiliates of 
the institution and the institution's counterparties to QFC 
transactions, contact information and organizational charts for key 
personnel involved in QFC activities, and contact information for 
vendors for such activities; and copies of key agreements and related 
documents for each QFC.

DATES: Comments on this notice of proposed rulemaking must be received 
by September 26, 2008.

ADDRESSES: You may submit comments by any of the following methods:
     Federal eRulemaking Portal: https://www.regulations.gov. 
Follow the instructions for submitting comments.
     Agency Web Site: https://www.FDIC.gov/regulations/laws/
federal/propose.html. Follow the instructions for submitting comments.
     Mail: Robert E. Feldman, Executive Secretary, Attention: 
Comments, Federal Deposit Insurance Corporation, 550 17th St., NW., 
Washington, DC 20429.
     Hand Delivery/Courier: Guard station at the rear of the 
550 17th Street Building (located on F Street) on business days between 
7 a.m. and 5 p.m. (EST).
     E-mail: Comments@fdic.gov. Include ``Recordkeeping 
Requirements for Qualified Financial Contracts'' in the subject line of 
the message.
     Public Inspection: All Comments received will be posted 
without change to https://www.fdic.gov/regulations/laws/federal 
including any personal information provided. Comments may be inspected 
and photocopied in the FDIC Public Information Center, 3502 North 
Fairfax Drive, Room E-1002, Arlington, VA 22226, between 9 a.m. and 5 
p.m. (EST) on business days. Paper copies of public comments may be 
ordered from the Public Information Center by telephone at (877) 275-
3342 or (703) 562-2200.

FOR FURTHER INFORMATION CONTACT: R. Penfield Starke, Counsel, 
Litigation and Resolutions Branch, Legal Division, (703) 562-2422 or 
RStarke@FDIC.gov; Michael B. Phillips, Counsel, Supervision and 
Legislation Branch, Legal Division, (202) 898-3581 or 
MPhillips@FDIC.gov; Craig C. Rice, Senior Capital Markets Specialist, 
Division of Resolutions and Receiverships, (202) 898-3501 or 
Crrice@FDIC.gov; Marc Steckel, Section Chief, Capital Markets Branch, 
Division of Supervision and Consumer Protection, (202) 898-3618 or 
MSteckel@FDIC.gov; Steve Burton, Section Chief, Division of Insurance 
and Research, (202) 898-3539 or Sburton@FDIC.gov, Federal Deposit 
Insurance Corporation, 550 17th Street, NW., Washington, DC.

SUPPLEMENTARY INFORMATION:

I. Background

    QFCs are certain financial contracts that have been defined in the 
Federal Deposit Insurance Act (FDI Act) and that receive special 
treatment by the FDIC in the event of the failure of an insured 
depository institution (institution). The special treatment of QFCs 
after the FDIC's appointment as receiver or conservator for a failed 
institution initially was codified in the FDI Act as part of the 
Financial Institutions Reform, Recovery, and Enforcement Act of 1989 
(FIRREA) \1\ and places certain restrictions on the FDIC as receiver 
\2\ for a failed institution that held QFCs.
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    \1\ Public Law No. 101-73, 103 Stat. 514 (August 9, 1989).
    \2\ Most of the restrictions applicable to the treatment of QFCs 
by an FDIC receiver also apply to the FDIC in its conservatorship 
capacity. See U.S.C. 1821(e)(8), (9), (10), and (11). While the 
treatment of QFCs by an FDIC conservator is not identical to the 
treatment of QFCs in a receivership, see 12 U.S.C. 1821(e)(8)(E) and 
(10) (B)(i) and (ii), for purposes of this preamble we intend 
reference to the FDIC in its receivership capacity to include its 
role as conservator under this statutory authority.
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    The FDI Act identifies QFCs using the statutory definition of five 
specific financial contracts. This statutory list of QFCs consists of 
securities contracts, commodity contracts, forward contracts, 
repurchase agreements, and swap agreements.\3\ The FDIC also may define 
other similar agreements as QFCs by rule or order.\4\ In addition, a 
master agreement that governs any contracts in these five categories is 
treated as a QFC \5\ as are security agreements that ensure the 
performance of a contract from the five enumerated categories.\6\
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    \3\ 12 U.S.C. 1821(e)(8)(D)(ii)-(vi).
    \4\ 12 U.S.C. 1821(e)(8)(D)(i). The FDIC has provided clarifying 
definitions for repurchase agreements and swap agreements in 12 CFR 
360.5.
    \5\ 12 U.S.C. 1821(e)(8)(D)(ii)(XI), (iii)(IX), (iv)(IV), 
(v)(V), and (vi)(V).
    \6\ 12 U.S.C. 1821(e)(8)(D)(ii)(XII), (iii)(X), (iv)(V), 
(v)(VI), and (vi)(VI).
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    Under the FDI Act and other U.S. insolvency statutes, a party to 
QFCs with the insolvent entity can exercise its contractual right to 
terminate QFCs and offset or net out any amounts due between the 
parties and apply any pledged collateral for payment.\7\ Under the 
Bankruptcy Code, this right is immediate upon initiation of bankruptcy 
proceedings, while under the FDI Act, counterparties cannot exercise 
this contractual right until after 5 p.m. (Eastern Time) on the 
business day following the appointment of the FDIC as receiver.\8\ By 
contrast, parties to most contracts with insured institutions cannot 
terminate the contracts based upon the appointment of the FDIC as 
receiver.\9\ The special rights granted by the FDI Act to QFC 
counterparties are designed to protect the stability of the

[[Page 43636]]

financial system and to reduce the potential for cascading interrelated 
defaults.
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    \7\ 12 U.S.C. 1821(e)(8); 11 U.S.C. 555 (securities contracts), 
556 (commodities and forward contracts), 559 (repurchase 
agreements), 560 (swap agreements), and 561 (master netting 
agreements).
    \8\ See 12 U.S.C. 1821(e)(10)(B).
    \9\ 12 U.S.C. 1821(e)(13).
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    If QFC counterparties were unable to terminate and liquidate their 
positions in a timely manner after the failure of the institution, they 
would be exposed to market risks and uncertainty regarding the ultimate 
resolution of QFCs. Absent the ability to terminate a QFC in a timely 
manner when the counterparty becomes insolvent (which may include 
exercising rights to offset positions, net payments, and the use of 
collateral to cover amounts due), the potential for fluctuation in the 
value of the QFCs from changes in interest rates and other market 
factors may create market uncertainty that could lead to broader market 
disruptions. Consequently, while the Bankruptcy Code and the FDI Act 
generally do not contain provisions covering creditor or counterparty 
liquidity concerns arising from insolvency proceedings, those statutes 
do contain safeguards for counterparties that have entered into certain 
financial contracts under the Bankruptcy Code and the FDI Act.\10\ Both 
of these statutes treat these types of financial contracts differently 
from other contracts that an entity may have entered into prior to 
bankruptcy or failure.\11\
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    \10\ 11 U.S.C. 555, 556, 559, 560, and 561; 12 U.S.C. 
1821(e)(8).
    \11\ Without such protections for financial contracts and QFCs 
under the Bankruptcy Code and the FDI Act, respectively, a contract 
generally will be subject to an automatic stay upon the filing of a 
bankruptcy petition or the appointment of the FDIC as receiver. See 
11 U.S.C. 361; 12 U.S.C. 1821(e)(13).
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    Congress, however, recognized the tension between the need of the 
FDIC as receiver to efficiently resolve a failed institution and the 
desire to maintain stability in the financial markets. Thus, the 
treatment of QFCs for failed institutions under the FDI Act provides 
the FDIC with limited flexibility in crafting a resolution with respect 
to the institution's QFC portfolio. These provisions allow the FDIC to 
reduce losses to the deposit insurance fund and retain the value of the 
failed institution's portfolio, while minimizing the potential for 
market disruptions that could occur with the liquidation of a large QFC 
portfolio.
    After its appointment as receiver, the FDIC has three options in 
managing the institution's QFC portfolio: (1) Transfer the QFCs to 
another financial institution, (2) repudiate the QFCs, or (3) retain 
the QFCs in the receivership. Within certain constraints, the FDIC can 
apply different options to QFCs with different counterparties.
    First, the receiver may transfer a QFC to any other financial 
institution not currently in default, including but not limited to 
foreign banks, uninsured banks, and bridge banks or conservatorships 
operated by the FDIC. If the receiver transfers a QFC to another 
financial institution, the counterparty cannot exercise its contractual 
right to terminate the QFC based solely on the transfer, the 
insolvency, or the appointment of the receiver.
    Second, the FDIC as receiver may repudiate a QFC, within a 
reasonable period of time, if the receiver determines that the contract 
is burdensome.\12\ If the receiver repudiates the QFC, it must pay 
actual direct compensatory damages, which may include the normal and 
reasonable costs of cover or other reasonable measure of damages used 
in the industry for such claims, calculated as of the date of 
repudiation.\13\ If the receiver determines to transfer or repudiate a 
QFC, all other QFCs entered into between the failed institution and 
that counterparty, as well as those QFCs entered into with any of that 
counterparty's affiliates, must be transferred to the same financial 
institution or repudiated at the same time.
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    \12\ 12 U.S.C. 1821(e)(1).
    \13\ 12 U.S.C. 1821(e)(3)(C).
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    Third, the FDIC as receiver may retain a QFC in the receivership. 
This option would allow the counterparty to terminate the contract. If 
a QFC is terminated by the counterparty or repudiated by the receiver, 
the counterparty may exercise any contractual right to net any payment 
the counterparty owes to the receiver on a QFC against any payment owed 
by the receiver to the counterparty on a different QFC.
    The FDIC as receiver has very little time to choose among these 
three options. Under the FDI Act, the FDIC as receiver has until 5 p.m. 
(Eastern Time) on the business day following the date of its 
appointment as receiver to make its decision to transfer any QFCs. 
During this period, counterparties are prohibited from terminating or 
otherwise exercising any contractual rights triggered by the 
appointment of the receiver under the QFC agreements. In effect, the 
same time limitation applies to repudiation because, after the 
expiration of this brief stay, counterparties are free to exercise any 
contractual right to terminate the QFCs and avoid the FDIC's power to 
repudiate. If the FDIC as receiver decides to transfer any QFCs, it 
must take steps reasonably calculated to provide notice of the transfer 
of the QFCs at the failed institution to the relevant counterparties, 
who are prohibited from exercising such rights thereafter.\14\
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    \14\ See 12 U.S.C. 1821(e)(10)(B). This limited time frame in 
which QFC counterparties are stayed from acting is in contrast to 
parties to other contracts with a failed institution which may be 
required to continue to perform by a receiver, and the receiver may 
stay a party from terminating such other contracts subject to 
monetary damages or default for up to 90 days.
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    To make a well-informed decision on these three options, the FDIC 
needs access to information such as the types of QFCs, the 
counterparties and their affiliates, the notional amount and net 
position on the contracts, the purpose of the contracts, the maturity 
dates, and the collateral pledged for the contracts. Given the FDI 
Act's short time frame for such decision by the FDIC, in the case of a 
QFC portfolio of any significant size or complexity, it may be 
difficult to obtain and process the large amount of information 
necessary for an informed decision by the FDIC as receiver unless that 
information is readily available to the FDIC in a format that permits 
the FDIC to quickly and efficiently carry out an appropriate financial 
and legal analysis.
    In light of the large volume of information concerning QFCs that a 
receiver must process in the limited time frame set forth in the FDI 
Act, the FDIC is proposing QFC recordkeeping requirements for 
institutions in a troubled condition, as described below. The absence 
of adequate information for decision-making by the FDIC as receiver 
increases the likelihood that, in a failed bank situation, QFCs will be 
left in the receivership or repudiated, instead of transferred to open 
institutions or a bridge bank. The FDIC does not believe that the 
proposed QFC recordkeeping requirements are overly burdensome, but 
encompass information that should be maintained by institutions as part 
of their risk management of capital market activities. Given the 
business and related counterparty risks and supervisory considerations, 
the FDIC believes that the proposed recordkeeping requirements are 
consistent with safe and sound banking practices by institutions 
holding QFCs.

II. The Proposed Rule

    In 2005, the Bankruptcy Abuse Prevention and Consumer Protection 
Act \15\ was enacted, with section 908 of the Act authorizing the FDIC, 
in consultation with the other Federal banking agencies, to set 
recordkeeping requirements for QFCs held in

[[Page 43637]]

institutions determined to be in a ``troubled condition.'' \16\ 
Consistent with this statutory authority, the proposed rule applies to 
all institutions that are FDIC-insured and have been deemed to be in a 
troubled condition.
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    \15\ Public Law No. 109-8, 119 Stat. 23 (April 20, 2005); H.R. 
Rep. No. 106-834, section 9, at 35 (2000).
    \16\ 12 U.S.C 1821(e)(8)(H).
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    For purposes of this proposed rule, ``troubled condition'' means 
any insured depository institution that (1) has a composite supervisory 
rating, as determined by its appropriate Federal banking agency in its 
most recent examination, of 3 (only if the insured depository 
institution has total consolidated assets of ten billion dollars or 
greater), 4 or 5 under the Uniform Financial Institution Rating System, 
or in the case of an insured branch of a foreign bank, an equivalent 
rating; (2) is subject to a proceeding initiated by the FDIC for 
termination or suspension of deposit insurance; (3) is subject to a 
cease-and-desist order or written agreement issued by the appropriate 
Federal banking agency, as defined in 12 U.S.C. 1813(q), that requires 
action to improve the financial condition of the insured depository 
institution or is subject to a proceeding initiated by the appropriate 
Federal banking agency which contemplates the issuance of an order that 
requires action to improve the financial condition of the insured 
depository institution, unless otherwise informed in writing by the 
appropriate Federal banking agency; (4) is informed in writing by the 
insured depository institution's appropriate Federal banking agency 
that it is in troubled condition for purposes of 12 U.S.C. 1831i on the 
basis of the institution's most recent report of condition or report of 
examination, or other information available to the institution's 
appropriate Federal banking agency; or (5) is determined by the 
appropriate Federal banking agency or the FDIC in consultation with the 
appropriate Federal banking agency to be experiencing a significant 
deterioration of capital or significant funding difficulties or 
liquidity stress, notwithstanding the composite rating of the 
institution by its appropriate Federal banking agency in its most 
recent report of examination.
    The third and fourth criteria of the term ``troubled condition'' as 
defined in this proposed rule are similar to criteria for the 
definition of that term in other FDIC rules and the rules of the other 
Federal banking agencies (which generally implement 12 U.S.C. 1831i, 
regarding the Federal banking agencies' approval of appointment of 
directors and senior executive officers of institutions).\17\ However, 
the first, second, and fifth criteria for the definition of ``troubled 
condition'' in the proposed rule differ from the other agencies' rules 
that implement 12 U.S.C. 1831i.
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    \17\ See 12 CFR 303.101(c) (FDIC), 12 CFR. 5.51(c)(6) (OCC), 12 
CFR 225.71(d) (FRB); and 12 CFR 563.555 (OTS).
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    Consistent with the FDIC's and the other Federal banking agencies' 
definition of ``troubled condition'' for purposes of 12 U.S.C. 1831i, 
the first criterion of the definition of ``troubled condition'' in this 
proposed rule includes institutions with a composite rating, as 
determined by its appropriate Federal banking agency in its most recent 
examination, of 4 or 5 under the Uniform Financial Institution Rating 
System, or in the case of an insured branch of a foreign bank, an 
equivalent rating. However, for purposes of this first criterion for 
``troubled condition'' in this proposed rule, the FDIC has included any 
insured depository institution with total consolidated assets of ten 
billion dollars or greater and a composite rating, as determined by its 
appropriate Federal banking agency in its most recent examination, of 3 
under the Uniform Financial Institution Rating System. The inclusion of 
institutions of such asset size with a composite rating of 3 reflects 
the risks to the deposit insurance fund arising from large institutions 
with QFC portfolios for which the appropriate Federal banking agency 
has assigned a composite rating of 3.
    The second criterion of the definition of ``troubled condition'' in 
this proposed rule reflects the FDIC's responsibility to terminate the 
deposit insurance of institutions that pose unreasonable risk to the 
deposit insurance fund. Similarly, the fifth criterion of this 
definition is based on circumstances that create a significant risk 
that an institution may require the appointment of the FDIC as 
receiver.
    In accordance with section 11(e)(8)(H) of the FDI Act, we have 
consulted with the other Federal banking agencies regarding the 
proposed part 370 and Appendix A. This Notice of Proposed Rulemaking 
(NPR) reflects various comments from the other Federal banking 
agencies.

III. Appendix A: QFC Recordkeeping Requirements

    Appendix A to proposed Part 370 sets forth the specific QFC 
recordkeeping requirements proposed in this NPR. These QFC 
recordkeeping requirements are organized under three categories as 
provided in Appendix A: (1) Position level data (Table A1), (2) 
counterparty level data (Table A2), and (3) certain contracts and lists 
of counterparty affiliates and identifiers, affiliates of the 
institution that are counterparties to QFC transactions, organizational 
charts involving the institution and its affiliates, and supporting 
vendors (Section B). An institution in a troubled condition would be 
required to maintain the position level data and counterparty data 
listed under Tables A1 and A2 in electronic files in a format 
acceptable to the FDIC, and such institutions would be required to 
demonstrate the ability to produce this information immediately at the 
close of processing of the institution's business day, for a period 
provided in a written notification by the FDIC. The files required 
under Section B are less quantitative and could be maintained in 
electronic format, in written format, or in a combination of those two 
formats. Nonetheless, the nature of this information would require that 
it be updated and available upon request on a daily basis.
    The proposed rule and Appendix A are intended to facilitate the 
ability of the receiver to gather relevant information on QFCs in order 
to make business decisions within the short time frame between when a 
failure occurs and when the FDIC as receiver must act under 12 U.S.C. 
1821(e)(9) and (10). Also, the data fields and related information 
required in Appendix A are important for the due diligence by 
institutions of their QFC agreements in conjunction with their risk 
management policies and procedures.
    For purposes of the proposed rule and Appendix A, ``position'' is 
defined in the proposed rule to mean the rights and obligations of a 
person or entity as party to an individual transaction. For example, 
``position'' would include the rights and obligations of an institution 
under a ``Transaction'' (as such term is defined in the 2002 Master 
Agreement of the International Swaps and Derivatives Association 
(ISDA)), such as an interest rate swap.
    Table A1. Table A1 requires data that must be maintained regarding 
open QFC positions entered into by that institution.\18\ For such data, 
the institution must demonstrate the ability to produce immediately at 
the close of processing of the institution's business day, for a period 
provided in a written notification by the FDIC, a report that 
aggregates the current market value and

[[Page 43638]]

the amount of QFCs by each of the delineated fields. In addition, the 
FDIC also may require a certain combination of recordkeeping fields 
from Table A1 where significant for purposes of its evaluation of risks 
associated with the institution's positions.
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    \18\ These positions include QFCs entered into by affiliates of 
the insured institution that are covered by the master agreements to 
which the institution is a party.
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    The following data fields are required in Table A1:
    1. Unique position identifier. This information would include CUSIP 
identifiers or unique trade confirmation numbers, if available. This 
information is needed in order to readily track and distinguish 
positions.
    2. Portfolio location identifier. This information would be used to 
provide the location in which the position is booked by the institution 
(e.g., the New York or London branch of the institution).
    3. Type of position. This information describes the products used, 
sold or traded by an institution. It would include position types such 
as interest rate swaps, credit default swaps, equity swaps, and foreign 
exchange forwards, and securities or loan repurchase agreements.
    4. Purpose of the position. This information identifies the role of 
the QFC in the institution's business strategy. For example, it would 
identify whether the purpose of a position is for trading, or for 
hedging other exposures such as mortgage loan servicing or certificates 
of deposit.
    5. Termination date. This date indicates when the institution's 
rights and obligations regarding the position are expected to end.
    6. Next call, put, or cancellation date. This information indicates 
the next date when a call, put, or cancellation may occur with respect 
to the position.
    7. Next payment date. This information would include payment dates 
for potential upcoming obligations.
    8. Current market value of the position. This information would 
cover position values as of the date of the file. It would be used to 
determine if the institution is in-or out-of-the-money with the 
counterparty.
    9. Unique counterparty identifier. This information would be used 
to aggregate positions by counterparty.
    10. Notional or principal amount of the position. This information 
is needed to assist in the FDIC's evaluation of the position. It would 
include the notional amount where applicable.
    11. Documentation status of the position. This information would 
document whether the position was affirmed, confirmed, or neither 
affirmed nor confirmed. It is needed to determine the reliability of 
booked positions and their legal status.
    Table A2. Table A2 requires data that must be maintained at the 
counterparty \19\ level for all QFCs entered into by an institution. 
For such data, the institution must demonstrate the ability to produce 
immediately at the close of processing of the institution's business 
day, for a period provided in a written notification by the FDIC, a 
report that (i) itemizes, by each counterparty and its affiliates with 
QFCs with the institution, the data required in each field delineated 
in Table A2; and (ii) aggregates by field, for each counterparty and 
its affiliates, the data required in each field. The following data 
fields are required in Table A2:
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    \19\ The use of the term ``Counterparty'' in Appendix A 
generally includes all entities (including all affiliates) that are 
effectively treated as a single counterparty under a master 
agreement.
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    1. Unique counterparty identifier. This information would be used 
by the FDIC to aggregate positions by counterparty.
    2. Current market value of all positions. This data must be 
aggregated and to the extent permitted under all applicable agreements, 
netted as of the date of the file. If one or more positions cannot be 
netted against others, they would be maintained as separate entries.
    3. Current market value of all collateral posted by the 
institution. This information would include the current market value of 
all collateral and the types of collateral, if any, that the 
institution has posted against all positions with each counterparty.
    4. Current market value of all collateral posted by counterparties. 
This information would include the current market value of all 
collateral and the types of collateral, if any, that the counterparty 
has posted against all positions.
    5. Institution's collateral excess or deficiency. This information 
would be provided with respect to all the positions as determined under 
each applicable agreement, such as master netting agreements and 
security agreements. If all positions are not secured by the same 
collateral, then separate entries should be maintained for each 
collateral excess and/or deficiency. This information would include 
thresholds and haircuts where applicable.
    6. Counterparty's collateral excess or deficiency. This information 
would be provided with respect to all the positions as determined under 
each applicable agreement. If all positions are not secured by the same 
collateral, then separate entries should be maintained for each 
collateral excess and/or deficiency. This information would include 
thresholds and haircuts where applicable.
    7. Institution's collateral excess or deficiency for all positions. 
This information would be based on the aggregate market value of the 
positions (after netting to the extent permitted under all applicable 
agreements) and the aggregate market value of all collateral posted by 
the institution against the positions, in whole or in part.
    B. Data files and contract information required under Section B: 
Section B of Appendix A requires that other data files be maintained in 
either written or electronic format for QFCs and upon a written request 
by the FDIC, be produced immediately at the close of processing of the 
institution's business day, for the period provided in that written 
request. Each institution must maintain lists of: counterparty 
identifiers with the associated counterparty and contact information; 
affiliates of the counterparties that are also counterparties to QFC 
transactions; affiliates of the institution that are counterparties to 
QFC transactions, specifically indicating which affiliates are direct 
or indirect subsidiaries of the institution; and portfolio location 
identifiers with the associated booking locations.
    For each QFC, the institution must maintain copies in a central 
location or data base in the United States of certain agreements, 
including active master netting agreements, and other QFC agreements 
between the institution and its counterparties that govern the QFC; 
active or ``open'' confirmations, if the position has been confirmed; 
credit support documents; and assignment documents, if applicable. The 
institution also must maintain a legal entity organizational chart; an 
organizational chart of all personnel involved in QFC-related 
activities at the institution, parent and affiliates; and a list of 
vendors supporting the QFC-related activities.

IV. Requests for Comment

    The FDIC recognizes that the proposed QFC recordkeeping 
requirements for institutions could not be implemented without some 
regulatory and financial burden on the industry. The FDIC is seeking to 
minimize the burden while at the same time ensuring it can quickly and 
cost effectively resolve an institution in a troubled condition upon 
its failure. The FDIC seeks comment on the potential industry costs and 
feasibility of

[[Page 43639]]

implementing the requirements of the proposed rule. The FDIC is also 
interested in comments on whether there are other ways to accomplish 
its goal of meeting the QFC recordkeeping-related requirements which 
might be more effective or less costly or burdensome.
    For purposes of the final rule, the FDIC seeks comments on all 
aspects of the proposed rule. In particular, the FDIC seeks comments on 
these specific issues:
    1. Whether the definition of ``troubled condition'' in the proposed 
rule should be modified in the final rule to include any insured 
depository institution that has received a composite rating as 
determined by its appropriate Federal banking agency in its most recent 
examination, of a 3 under the Uniform Financial Institution Rating 
System?
    2. Whether the QFC recordkeeping requirements in this proposed rule 
should be applied in the final rule to cover all institutions, 
regardless of whether they are in a troubled condition? Alternatively, 
should the proposed rule be applied to cover all institutions, 
regardless of whether they are in a troubled condition, if they meet 
certain quantitative thresholds? Possible thresholds are outlined in 
the following question. Such an expansion of the scope of the proposed 
rule would be consistent with the important role that the availability 
of this information will have in the case of the appointment of a 
receiver or conservator in facilitating an orderly resolution of a 
failed institution and the reduction of the losses of the deposit 
insurance fund. Delaying the obligation for such recordkeeping until an 
institution is in a troubled condition increases the risks of 
disruption and the potential for losses to the deposit insurance fund. 
In addition, the requirements imposed by this proposed rule are 
consistent with the data and records necessary for the safe and sound 
management of the risks arising from QFC activities. The absence of 
such prudent management practices increases the risks to the deposit 
insurance fund. The FDIC's general authority to promulgate rules to 
protect the deposit insurance fund would provide additional support for 
this expanded coverage.\20\
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    \20\ See 12 U.S.C. 1819(a) (Tenth); 12 U.S.C. 1821(a)(4)(A).
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    3. Whether the QFC recordkeeping requirements in this proposed rule 
should be applied in the final rule only to institutions that meet 
certain quantitative thresholds, for example, including (i) the total 
consolidated assets of the institution exceed a certain threshold (e.g. 
, a minimum total asset size of the institution of $2 billion or more); 
(ii) the institution's holding of QFCs exceeds a certain total notional 
or principal amount; (iii) the institution is a party to no fewer than 
10 open positions, or (iv) the total notional or principal amount of 
QFCs held by the institution constitute more than a certain percentage 
of tier 1 and tier 2 capital under the risk-based capital guidelines of 
the appropriate Federal banking agency, based on the institution's most 
recent consolidated Report of Condition and Income (e.g., greater than 
20 percent of the institution's tier 1 and tier 2 risk-based capital)? 
In addition, should the FDIC consider other relevant factors such as 
the total number of QFC transactions by the institution, the types of 
QFCs executed by the institution, and the complexity of the QFC 
positions executed by the institution? Alternatively, should 
institutions below thresholds of the types described in this question 
be required to comply with the substantive requirements in proposed 
part 370 and section B of proposed Appendix A, but be excused from the 
requirements in Tables A1 and A2 of proposed Appendix A that records be 
maintained in electronic form?
    4. Should the QFC position level data fields in Table A1 of 
proposed Appendix A be required of affiliates of institutions subject 
to the proposed rule? Alternatively, should the QFC position level data 
fields in Table A1 of proposed Appendix A be required for 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?
    5. Are there additional recordkeeping requirements or modifications 
to the proposed QFC recordkeeping requirements that would better 
reflect current internal risk management concerns of institutions?
    6. Should the data requirements in proposed Appendix A be tailored 
to fit specific QFC categories (e.g., repurchase agreements and swap 
contracts)?
    7. Should the FDIC revise its current definition of ``troubled 
condition'' in 12 CFR 303.102(c) to include the definition of 
``troubled condition'' in this proposed rule?
    8. The FDIC requests comment concerning (i) the extent to which 
contracts of institutions and their affiliates are subject to master 
netting agreements, cross-collateralization agreements, or other master 
agreements that affect the institutions' net positions or collateral 
sufficiency with respect to a counterparty; \21\ (ii) the extent to 
which contracts of counterparties and their affiliates are subject to 
master netting agreements, cross-collateralization agreements, or other 
master agreements that affect the counterparties' net positions or 
collateral sufficiency; and (iii) the processes by which such impacts 
are monitored by institutions, counterparties, and their affiliates, 
respectively. Please note that such cross-affiliate netting across the 
insured institution in receivership and its affiliates may be contrary 
to the provisions of the FDI Act governing the liabilities of the 
receivership and the distribution of the proceeds of the sale or 
liquidation of the insured institution's assets if such netting would 
disadvantage the insured institution and impose losses on the 
institution in receivership otherwise attributable to contracts by the 
institution's affiliates.
---------------------------------------------------------------------------

    \21\ This situatiions might occur, for example, if an 
institution and its affiliates were treated as a single party under 
a master netting agreement, whereby their respective positions would 
be netted against one another and that net position, in turn, would 
be netted against the counterparty's positions.
---------------------------------------------------------------------------

    9. Do any of the data fields required in Tables A1 and A2 of 
proposed Appendix A call for information that is not relevant to the 
institutions' and counterparties' legal and economic positions 
regarding their QFC portfolios? Also, please provide any modifications 
of the data fields in Tables A1 and A2, in addition to the information 
required in section B of proposed Appendix A that would be appropriate 
for the appropriate Federal banking agency and the FDIC to better 
monitor QFCs entered into by institutions, counterparties, and 
affiliates of institutions and counterparties that are covered by 
section B.1 of proposed Appendix A.
    10. Under section 370.1(c) of the proposed rule, an insured 
institution must comply with this rule and Appendix A within 30 days 
after written notification by the institution's appropriate Federal 
banking agency or the FDIC that it is in a ``troubled condition'' as 
defined in the proposed rule. Should the FDIC include in the final rule 
an approval procedure for requests for an extension of the 30 day 
deadline from institutions with an aggregate amount of QFCs beyond a 
certain threshold and based on specific dates for compliance?
    11. Should Appendix A be amended to include requirements for a 
listing of the institution's QFC-related portfolios, those portfolios' 
risk information, and the specific counterparties associated with those 
portfolios?

[[Page 43640]]

V. Regulatory Flexibility Act

    The Regulatory Flexibility Act (RFA) \22\ requires an agency 
publishing a notice of proposed rulemaking to prepare and make 
available for public comment an initial regulatory flexibility analysis 
that describes the impact of the final rule on small entities. Under 
regulations issued by the Small Business Administration,\23\ a ``small 
entity'' includes a bank holding company, commercial bank, or savings 
association with assets of $165 million or less (collectively, small 
banking organizations). The RFA provides that an agency is not required 
to prepare and publish a regulatory flexibility analysis if the agency 
certifies that the proposed rule would not have a significant economic 
impact on a substantial number of small entities.
---------------------------------------------------------------------------

    \22\ 5 U.S.C. 603(a).
    \23\ 13 CFR 121.201.
---------------------------------------------------------------------------

    Under section 605(b) of the RFA,\24\ the FDIC certifies that this 
proposed rule would not have a significant economic impact on a 
substantial number of small entities. The proposed rule consists of 
requirements for institutions that have been determined to be in a 
troubled condition, as defined in the proposed rule. These requirements 
include the maintenance of certain information regarding the 
institution's QFCs that it would be able to produce on short notice by 
the appropriate Federal banking agency or the FDIC. This proposed rule 
would not have a significant economic impact on a substantial number of 
small entities for three reasons. First, QFCs are generally 
sophisticated financial instruments that are usually used by larger 
financial institutions to hedge assets, provide funding, or increase 
income. Because of the nature of the capital markets in which QFCs are 
used, smaller entities generally do not participate in such markets. 
Second, the number of small entities affected is further limited due to 
the proposed rule only being applicable to institutions that are 
determined to be in a troubled condition under the definition in the 
rule. Third, the impact on small entities that do use QFCs and are in a 
troubled condition further is limited by the fact that the information 
requested by the FDIC involves information that the institution already 
should have accessible if it is operated in a safe and sound manner.
---------------------------------------------------------------------------

    \24\ 5 U.S.C. 605(b).
---------------------------------------------------------------------------

VI. Paperwork Reduction Act

A. Request for Comment on Proposed Information Collection

    In accordance with the requirements of the Paperwork Reduction Act 
of 1995 (PRA), 44 U.S.C. 3501-3521, the FDIC may not conduct or 
sponsor, and the respondent is not required to respond to, an 
information collection unless it displays a currently valid Office of 
Management and Budget (OMB) control number. The FDIC is requesting 
comment on the proposed information collection requirements contained 
in this rule. The FDIC also is giving notice that the proposed 
collection of information has been submitted to OMB for review and 
approval under section 3506 of the PRA and section 1320.11 of OMB's 
implementing regulations (5 CFR part 1320).
    Comments: In addition to the questions raised elsewhere in this 
preamble, comment is solicited on: (1) Whether the proposed collection 
of information is necessary for the proper performance of the functions 
of the agency, including whether the information will have practical 
utility; (2) the accuracy of the agency's estimate of the burden of the 
proposed collection of information, including the validity of the 
methodology and assumptions used; (3) the quality, utility, and clarity 
of the information to be collected; (4) ways to minimize the burden of 
the collection of information on those who are to respond, including 
through the use of appropriate automated, electronic, mechanical, or 
other technological collection techniques or other forms of information 
technology; e.g., permitting electronic submission of responses; and 
(5) estimates of capital or start-up costs and costs of operation, 
maintenance, and purchases of services to provide information.
    Commenters may submit comments on aspects of the proposed rule that 
may affect recordkeeping requirements at the addresses listed in the 
ADDRESSES section of this NPR. In addition, you should send a copy of 
your comments to the OMB Desk Officer for the FDIC, by mail to the 
Office of Information and Regulatory Affairs, U.S. Office of 
Management, New Executive Office Building, Room 10235, 725 17th Street, 
NW., Washington, DC 20503, or by fax to (202) 395-6974.

B. Proposed Information Collection

    Title of Information Collection: Recordkeeping Requirements for 
Qualified Financial Contracts: Proposed Rule and Notice.
    OMB Number: 3064--[NEW].
    Frequency of Response: Where applicable under this proposed rule, 
upon written request of the institution's appropriate Federal banking 
agency or the FDIC immediately at the close of processing of the 
institution's business day for a period provided in a written 
notification by the FDIC.
    Affected Public: Insured depository institutions determined to be 
in a ``troubled condition'' as defined in the rule.
    Abstract: The combined annual burden of complying with this 
proposed rule is estimated to be 9,600 hours. This estimate assumes 
that 150 institutions will be subject to the requirements of the 
proposed rule and that such institution will spend, on average, 24 
hours annually complying with the proposed reporting requirements and 
40 hours annually complying with the proposed records maintenance 
requirements. Factors considered in developing the burden estimate 
include the existing and historical average number of insured 
institutions with supervisory ratings of 3 (for institutions with total 
consolidated assets of ten billion dollars or greater), 4, or 5; the 
volume of QFC activity in institutions that presently have supervisory 
ratings of 3 (where the asset threshold for an institution is met or 
exceeded), 4, or 5; the time necessary to complete other types of 
regulatory reports; the frequency with which the FDIC may require 
institutions to produce QFC information under this proposed rule; and 
the time necessary to update and maintain QFC and related information 
as required in the proposed rule.
    Estimated Burden: The combined annual burden is estimated to be 
9,600 hours. This estimate is derived from the product of the estimated 
number of institutions that would be subject to the proposed rule and 
the estimated hours per respondent necessary to meet the proposed 
rule's reporting and records maintenance requirements. There are an 
estimated 150 institutions that currently would be subject to the 
requirements of the proposed rule. Approximately 110 institutions would 
have been subject to the proposed rule on average over the past 10 
years.
    The combined reporting and record maintenance burdens related to 
the proposed rule are estimated at 64 hours per respondent annually. 
This estimate consists of two components: A reporting component and a 
records maintenance component. It is estimated that reports as 
described in Tables A and B of proposed Appendix A will require 2 hours 
on average to complete. This estimate is based on a number of 
considerations including the relatively

[[Page 43641]]

small number of items requested, the time necessary to complete other 
regulatory reports, and the reported volume of QFC activity evident 
within the existing population of institutions that would be subject to 
the proposed rule. The time necessary to produce such reports could be 
substantially more than 2 hours for larger institutions with greater 
QFC volumes.
    The FDIC may request the information required in Tables A1 and A2, 
and section B of Appendix A of the proposed rule relatively frequently 
or infrequently depending on such factors as the reported volume of an 
institution's QFC exposures, the number of QFC positions held by an 
institution (if known), and the near term failure prospects of an 
institution. For example, the FDIC would be more likely to request the 
information required to be maintained under this proposed rule and 
Appendix if the institution has a sizeable volume of reported QFC 
exposures (measured in carrying values or notational amounts as 
applicable) relative to that institution's assets or regulatory capital 
than from an institution with a nominal volume of reported QFC 
exposures. Similarly, the FDIC likely would require more frequent 
reporting for institutions with low supervisory ratings. Based on the 
assumption that 12 reports would be required within a given year for 
such institutions, the total reporting component of the estimate would 
be 24 hours per respondent.
    It is further estimated that institutions subject to these 
requirements will spend, on average, an estimated 10 hours per quarter, 
or 40 hours annually updating and maintaining the records and 
information required by section B of proposed Appendix A. Again, larger 
institutions with greater QFC volumes would likely spend considerably 
more time updating and maintaining records pertaining to QFC 
activities. Combining the records maintenance and reporting component 
estimates results in an estimated annual burden of 64 hours per 
respondent.
    Estimated Number of Respondents: 150.
    Estimated Time per Response: 64 hours annually per respondent (24 
hours--reporting; 40 hours--recordkeeping).
    Estimated Total Annual Burden: 9,600 hours.

VII. Solicitation of Comments on the Use of Plain Language

    Section 722 of the Gramm-Leach-Bliley Act required the Federal 
banking agencies to use plain language in all proposed and final rules 
published after January 1, 2000. The Federal banking agencies invite 
comment on how to make this proposed rule easier to understand. For 
example:
     Have we organized the material to suit your needs? If not, 
how could the rule be more clearly stated?
     Are the requirements in the rule clearly stated? If not, 
how could the rule be more clearly stated?
     Do the regulations contain technical language or jargon 
that is not clear? If so, which language requires clarification?
     Would a different format (grouping and order of sections, 
use of headings, paragraphing) make the regulation easier to 
understand? If so, what changes would make the regulation easier to 
understand?
     Would more, but shorter sections be better? If so, which 
sections should be changed?
     What else could we do to make the regulation easier to 
understand?

List of Subjects in 12 CFR Part 370

    Administrative practice and procedure, Bank deposit insurance, 
Banking, Banks, Reporting and recordkeeping requirements, Savings 
associations, Securities, State non-member banks.

    The Board of Directors of the Federal Deposit Insurance Corporation 
proposes to amend title 12 of the Code of Federal Regulations by adding 
a new part 370 to read as follows:

PART 370--RECORDKEEPING REQUIREMENTS FOR QUALIFIED FINANCIAL 
CONTRACTS

    2. Add new part 370 to read as follows:

Sec.
370.1 Scope and purpose, and applicability.
370.2 Definitions.
370.3 Form, availability and maintenance of records.
370.4 Content of records.
Appendix A to Part 370--File Structure for Qualified Financial 
Contract (QFC) Records

    Authority: 12 U.S.C. 1819(a)(Tenth); 1820(g); 1821(e)(8)(D) and 
(H); 1831g; 1831i, and 1831s.


Sec.  370.1  Scope, purpose, and applicability.

    (a) Scope. This part applies to insured depository institutions 
that are in a troubled condition as defined in Sec.  370.2(f).
    (b) Purpose. This part establishes recordkeeping requirements with 
respect to qualified financial contracts for insured depository 
institutions that are in a troubled condition.
    (c) Applicability. An insured depository institution shall comply 
with this part within 30 days after written notification by the 
institution's appropriate Federal banking agency or the FDIC that it is 
in a troubled condition under Sec.  370.2(f).


Sec.  370.2  Definitions.

    For purposes of this part:
    (a) Affiliate means any company that controls, is controlled by, or 
is under common control with another company.
    (b) Appropriate Federal banking agency means the agency or agencies 
designated under 12 U.S.C. 1813(q).
    (c) Insured depository institution means any bank or savings 
association, as defined in 12 U.S.C. 1813, the deposits of which are 
insured by the FDIC.
    (d) Position means the rights and obligations of a person or entity 
as a party to an individual transaction under a QFC.
    (e) Qualified financial contracts (QFCs) mean those qualified 
financial contracts that are defined in 12 U.S.C. 1821(e)(8)(D) to 
include securities contracts, commodity contracts, forward contracts, 
repurchase agreements, and swap agreements and any other contract 
determined by the FDIC to be a QFC as defined in that section.
    (f) Troubled condition means for purposes of this part, any insured 
depository institution that:
    (1) Has a composite rating, as determined by its appropriate 
Federal banking agency in its most recent report of examination, of 3 
(only for insured depository institutions with total consolidated 
assets of ten billion dollars or greater), 4, or 5 under the Uniform 
Financial Institution Rating System, or in the case of an insured 
branch of a foreign bank, an equivalent rating;
    (2) Is subject to a proceeding initiated by the FDIC for 
termination or suspension of deposit insurance;
    (3) Is subject to a cease-and-desist order or written agreement 
issued by the appropriate Federal banking agency, as defined in 12 
U.S.C. 1813(q), that requires action to improve the financial condition 
of the insured depository institution or is subject to a proceeding 
initiated by the appropriate Federal banking agency which contemplates 
the issuance of an order that requires action to improve the financial 
condition of the insured depository institution, unless otherwise 
informed in writing by the appropriate Federal banking agency;
    (4) Is informed in writing by the insured depository institution's 
appropriate Federal banking agency that it is in troubled condition for 
purposes of 12 U.S.C. 1831i on the basis of the institution's most 
recent report of condition or report of examination, or

[[Page 43642]]

other information available to the institution's appropriate Federal 
banking agency; or
    (5) Is determined by the appropriate Federal banking agency or the 
FDIC in consultation with the appropriate Federal banking agency to be 
experiencing a significant deterioration of capital or significant 
funding difficulties or liquidity stress, notwithstanding the composite 
rating of the institution by its appropriate Federal banking agency in 
its most recent report of examination.


Sec.  370.3  Form, availability and maintenance of records.

    (a) Form and availability. The records required to be maintained by 
an insured depository institution for QFCs under this part--
    (1) Except for records that must be maintained through electronic 
files under Appendix A of this part, may be maintained in any form, 
including in an electronic file, provided that the records are updated 
at least daily;
    (2) If the records are not maintained in written form, will be 
capable of being reproduced or printed in written form; and
    (3) Will be made available upon written request by the 
institution's appropriate Federal banking agency or the FDIC 
immediately at the close of processing of the institution's business 
day, for a period provided in that written request.
    (b) Maintenance of records after the institution is no longer in a 
troubled condition. Insured depository institutions that are in a 
troubled condition as defined in Sec.  370.2(f) shall continue to 
maintain records required under this part for a period of one year 
after the date that the appropriate Federal banking agency notifies the 
institution that it is no longer in a troubled condition as defined in 
Sec.  370.2(f).
    (c) Maintenance of records after an acquisition of an institution 
that is in a troubled condition. If an insured depository institution 
that has been determined by the appropriate Federal banking agency to 
be in a troubled condition ceases to exist as an insured depository 
institution as a result of a merger or a similar transaction into an 
insured depository institution that is not in a troubled condition 
immediately following the acquisition, the obligation to maintain 
records under this part will terminate when the institution in a 
troubled condition ceases to exist as a separately insured depository 
institution.


Sec.  370.4  Content of records.

    For each QFC for which an insured depository institution is a party 
or is subject to a master netting agreement involving the QFC, that 
institution must maintain records as listed under Appendix A of this 
part.

Appendix A to Part 370--File Structure for Qualified Financial Contract 
(QFC) Records

QFC Recordkeeping Requirements

A. Electronic Files To Be Maintained for QFCs

    1. Any insured depository institution that is subject to this 
part (``institution'') must 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 to which the institution is subject. In addition, for 
such data, 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 aggregates the 
current market value and the amount of QFCs by each of the fields in 
Table A1. The FDIC also may require in its written requests a 
certain combination of recordkeeping fields from Table A1 where 
significant for purposes of its evaluation of risks associated with 
the institution's positions.

                     Table A1.--Position Level Data
------------------------------------------------------------------------
            Field                    Example          Data application
------------------------------------------------------------------------
Unique position identifier    999999999AU.........  Information needed
 and CUSIP, if available.                            to readily track
                                                     and distinguish
                                                     positions; unique
                                                     trade confirmation
                                                     number if
                                                     available.
Portfolio location            XY12Z...............  Information needed
 identifier (to identify the                         to determine the
 headquarters or branch                              headquarters or
 where the position is                               branch where the
 booked).                                            position is booked
                                                     (see section B.1 of
                                                     this Appendix).
Type of position (including   Interest rate swap,   Information needed
 the general nature of the     credit default        to determine the
 reference asset or interest   swap, equity swap,    extent to which the
 rate).                        foreign exchange      institution is
                               forward, securities   involved in any
                               repurchase            particular QFC
                               agreement, loan       market.
                               repurchase
                               agreement.
Purpose of the position (if   Trading, hedging      Information needed
 the purpose consists of       mortgage servicing,   to determine the
 hedging strategies, include   hedging               role of the QFC in
 the general category of the   certificates of       the institution's
 item(s) hedged).              deposit.              business strategy.
Termination date (date the    3/31/2010...........  Information needed
 position terminates or is                           to determine when
 expected to terminate,                              the institution's
 expire, mature, or when                             rights and
 final performance is                                obligations
 required).                                          regarding the
                                                     position are
                                                     expected to end.
Next call, put, or            9/30/08.............  Information needed
 cancellation date.                                  to 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
 position (as of the date of                         to determine if the
 the file).                                          institution is in-
                                                     or out-of-the money
                                                     with the
                                                     counterparty.
Unique counterparty           AB999C..............  Information needed
 identifier.                                         to aggregate
                                                     positions by
                                                     counterparty.
Notional or principal amount  $1,000,000..........  Information needed
 of the position (this is                            to help evaluate
 the notional amount, where                          the position.
 applicable).
Documentation status of       Affirmed, confirmed,  Information needed
 position.                     or neither affirmed   to determine
                               nor confirmed.        reliability of a
                                                     booked position and
                                                     its legal status.
------------------------------------------------------------------------


[[Page 43643]]

    2. 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.

                   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 \1\ (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