HC-Q/RC-Q - Configuration Issues (FRY9C, FFIEC031/041) (Doc ID 2706699.1)

Last updated on SEPTEMBER 07, 2020

Applies to:

Symptoms

Version: RRS 80950
Report- FRY9C, FFIEC031/041

Schedule: HC-Q/RC-Q

1) Line 5b - Cell group 1 - reports all assets with fair value option, this would include also the assets reported in lines 1-4
HIR - RR Balance Sheet Category = ASSET
HIR - RR Fair Value Option Flag = Y

2) Line 5b - Col B - Currently does not have configurations to report netted amount. Trading assets are valid use-cases to have counter party netting

3) Line 5b1 - Cell Group 2 - Line's requirement is to report "non-traded securities", this cell group reports "traded" debt securities
HIR - RR Balance Sheet Category = ASSET
HIR - RR Holding Type = HFT
HIR - RR Reg Product Group = ABS#~#DEBTSEC#~#SDS#~#SOVDS

4) Line 5b1 - Cell group 3,4,5 - have HIR - RR Fair Value Option Flag = N
Requirement is to report non traded securities where bank has opted for reporting at fair value
FVO flag is expected to be Y

5) Line 6 - How does current configuration addresses the exclusion of assets already reported in previous lines (1 to 5b)
HIR - RR Balance Sheet Category = ASSET#~#DERV
HIR - RR Fair Value Option Flag = Y
This config may report all assets and derivatives reported with fair value option, this overlaps with assets and derivatives reported in lines 1 to 5b

6) Line 6 - Col B is currently reporting Derivatives reported at NAV, which is not a valid use-case, it should report "Other assets" (ie not already reported in lines 1-5b) which are reported using NAV

HIR - RR Balance Sheet Category = DERV
HIR - RR Fair Value Hierarchy = NAV
HIR - RR Holding Type = NOT HFT

Changes

 NA

Cause

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