(COUNTERPARTY_CPR_ID)_(BOA_LEGAL_ENTITY)_review_method_(CLOSE OF BUSINESS DATE).csv

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2 Overview Upon notification of a client s election to receive portfolio reconciliation data directly from Bank of America Merrill Lynch (BofAML), a ML Clear account will be established and serve as the delivery mechanism for all reconciliation data. 1 Thereafter, BofAML will provide valuation reconciliation data to the client, at times identified within their ISDA Protocol elections, or other documents governing their portfolio reconciliation relationship. Once available, clients can access their ML Clear account to capture and consume this data. This document is intended to provide information related to the valuation file clients will receive from BofAML. The document describes the general attributes of the file to be received and file layout and content. General File Attributes Files available for client use will be delivered as a comma-separated values (CSV) file. Each file will follow the following naming convention: (COUNTERPARTY_CPR_ID)_(BOA_LEGAL_ENTITY)_review_method_(CLOSE OF BUSINESS DATE).csv Unique to each client are the following descriptors, in the file naming convention: COUNTERPARTY_CPR_ID Internal BofAML identifier used for client reference purposes. BOA_LEGAL_ENTITY Internal BofAML acronym representing the BofAML legal entity a client s trade faces. CLOSE OF BUSINESS DATE The date on which valuations and trade economics reflect. If a client has trades facing more than one BofAML legal entity, the client will receive separate files for each legal entity trading relationship. The relevant legal entity will be noted in the BOA_LEGAL_ENTITY part of the file extension. File Layout Review Method files are composed of three separate sections (1) File Header, (2) Column Headings and Trade Records, and (3) Trailer Record. File Header Each file contains a header record, consisting of four pipe-delimited sections. The file header description is as follows: UHDR,YYYYJJJ,YYYYMMDD,nnnnnnnnnnn UHDR Four character string identifying the header record. YYYYJJJ Seven character numeric string identifying the Julian date file was made available for client consumption. YYYYMMDD Eight character numeric string identifying the date the file was made available for client consumption. nnnnnnnnnnn This is an eleven character non-zero numeric string identifying the file itself. If the file must be resent to a client, this string will be used to correctly identify the original file sent. Column Headings and Trade Records 1 Please refer to Bank of America Merrill Lynch s ML Clear FAQ for further information regarding ML Clear and the account setup process. Page 1 of 7

3 Following the File Header section, are the column headings and trade records. There are 50 attributes (36 which are currently populated) contained within the heading. Details concerning these attributes are provided in a series of tables, at the end of this document. NOTE: Special Distinction for Equity Products Trade attributes for equity derivative products are provided at a more granular level of detail known as leg level detail. If an equity position has more than one reportable leg level of detail, there will be (1) a repeating Transaction ID in the TRANSACTION_NUMBER attribute column, and (2) populated values within the TRAS_ID column attribute. Products other than equity derivatives do not have these characteristics. (Please refer to the Attribute Tables at the end of this document for a description of these fields). Example Trade Record Containing Equity Leg Reporting Product type BOA_LEGAL_ENTITY COUNTERPARTY_CPR_ID TRANSACTION_NUMBER TRANS_ID FX BOA Credit BOA Equity BOA A Equity BOA B Equity BOA A Equity BOA B Trailer Record Each file contains a Trailer Record, consisting of two pipe-delimited sections. The file header description is as follows: UTRL,nnnnnn UTRL Four character string identifying the trailer record. nnnnnn Numeric string indicating the line count within the file (excluding Trailer Record). Review Method File Header Section and Trade Attribute Table Page 2 of 7

4 The table below outlines, and provides a description of the format of the Review Method Header section. Column Position Column Heading Data Type Number of allowed characters Sample Data Description 1 TRADE_ID String 1 TRADE_LEG_ID String 2 MARK_TO_MARKET_DATE String 3 COLLATERALIZED_FLAG String 4 AGREEMENT_ID String 5 COUNTERPARTY_ID String 6 COUNTERPARTY_NAME String 7 LEGAL_ENTITY String 8 AGREEMENT_MARK_TO_MARKET Numerical 9 AGREEMENT_MARK_TO_MARKET_CURRENCY String 10 MARK_TO_MARKET Numerical 11 MARK_TO_MARKET_CURRENCY String 12 INDEPENDENT_AMOUNT Numerical 13 INDEPENDENT_AMOUNT_CURRENCY String 14 CURRENT_NOTIONAL Numerical applied applied ABC TRUE ABC Corp. (ABCL) BKNA EUR USD USD BofAML identifier used to reference a Trade. Identifier used for referencing "leg" level details of a trade (applicable only for equity derivative products). "As of" date on which MTM calculation for a trade was made. Flag identifying whether a trade is collateralized. BofAML identifier for the Master Agreement governing the trade. BofAML identifier used for referencing client. Legal name for client counterparty. Acronym used to reference BAML entity facing client counterparty. MTM of trade, calculated in accordance with governing Master Agreement. MTM of trade, in the currency of the governing Master Agreement. If Governing Master Agreement currency is non-usd, the USD equivalent of Agreement MTM. MTM of trade, in tusd currency equivalent. If applicable, independent amount required by governing Credit Support Annex (CSA). Currency of Independent Amount. Page 3 of 7

5 Column Position Column Heading Data Type Number of allowed characters Sample Data Description 15 INITIAL_MARGIN Numerical 16 INITIAL_MARGIN_CURRENCY String 17 NOTIONAL_1 Numerical 18 CURRENCY_1 String 19 NOTIONAL_2 Numerical 20 CURRENCY_2 String 21 STRIKE_PRICE Numerical 22 STRIKE_CURRENCY String 23 FIXED_COUPON Numerical 24 CURRENT_SPREAD Numerical 25 NET_UPFRONT_FEE Numerical 26 UPFRONT_FEE_CURRENCY String 27 TRADE_DATE String 28 START_DATE String 29 END_DATE String 30 EXERCISE_DATE String applied EUR USD USD EUR Notional amount, as stated in the trade s confirmation. Currency of notional, as stated in a trade's confirmation. If applicable, secondary notional of a trade, as stated in the trade s confirmation. If applicable, currency of secondary notional. If applicable, exercise price of a trade. If applicable, currency of exercise price. The maximum interest rate that the issuer pays to the holder per coupon. If applicable, any fee paid in advance by counterparty. If applicable, currency of Upfront Fee Date trade was executed Date on which a trade becomes effective Date on which a trade ceases to be effective. Page 4 of 7

6 Column Position Column Heading Data Type Number of allowed characters Sample Data Description 31 FEE_SETTLEMENT_DATE String 32 PRODUCT_DESCRIPTION String FX - Forward Asset/Product type of a trade. 33 UNDERLYING_SECURITY String GM Series If applicable, the reference security used for trade purposes. 34 UNDERLYINGDESCRIPTION String 35 UNDERLYING_RIC String 36 UNDERLYING_SEDOL String 37 ELECTRONIC_CONFIRMED_TRADE_ID String 38 BUY_SELL_INDICATOR String 39 PUT_CALL String 40 CPTY_TRADE_ID String 41 ALTERNATIVE_CPTY_ID String 42 ALTERNATIVE_COUNTERPARTY_NAME String 43 NUMBER_OF_CONTRACTS Numerical 44 PRIME_BROKERAGE_FLAG String 45 JURISDICTION String 46 FUTURE_USE_1 String applied Series 1 senior subordinated AC12X328 X35678 BUY PUT 34670BKNA 7890 BOFAML 2 Y Description for the underlying security If applicable, the Reuters Instrument Code of the Underlying Security. If affirmed through Swapswire or DTCC, a trade's affirmation identifier for Swapswire or DTCC respectively. Indicates if Bank Of America Merrill Lynch is the buyer or seller. If applicable, whether the trade is a put or call. Trade identifier used by client counterparty. Counterparty identifier used by client counterparty. Client counterparty identifier used for trading purposes. If applicable the number of legs in a multi-leg trade. Flag identifying whether a trade is prime brokerage. Page 5 of 7

7 Column Position Column Heading Data Type Number of allowed characters Sample Data Description 47 FUTURE_USE_2 String 48 FUTURE_USE_3 String 49 FUTURE_USE_4 String 50 FUTURE_USE_5 String Page 6 of 7

8 "Bank of America Merrill Lynch" is the marketing name for the global banking and global markets businesses of Bank of America Corporation. Lending, derivatives and other commercial banking activities are performed globally by banking affiliates of Bank of America Corporation, including Bank of America, N.A., member FDIC. Securities, strategic advisory, and other investment banking activities are performed globally by investment banking affiliates of Bank of America Corporation ("Investment Banking Affiliates"), including, in the United States, Merrill Lynch, Pierce, Fenner & Smith Incorporated and Merrill Lynch Professional Clearing Corp., both of which are registered as broker-dealers and members of FINRA and SIPC, and, in other jurisdictions, by locally registered entities. Merrill Lynch, Pierce, Fenner & Smith Incorporated and Merrill Lynch Professional Clearing Corp. are registered as futures commission merchants with the CFTC and are members of the NFA. Retirement Services discussed are provided through Bank of America Merrill Lynch, which is a marketing name. Banking activities may be performed by wholly owned banking affiliates of Bank of America Corporation ("BAC"), including Bank of America, N.A. Brokerage services may be performed by wholly owned brokerage affiliates of BAC, including Merrill Lynch, Pierce, Fenner & Smith Incorporated. Investment products offered by Investment Banking Affiliates: Are Not FDIC Insured * May Lose Value * Are Not Bank Guaranteed. MLI, BASL is authorised by the Prudential Regulation Authority and regulated by the Financial Conduct Authority and the Prudential Regulation Authority. MLIB London is authorised by the Central Bank of Ireland and subject to limited regulation by the Financial Conduct Authority and Prudential Regulation Authority. Details about the extent of our regulation by the Financial Conduct Authority and Prudential Regulation Authority are available from us on request. MLIB London is authorised by the Central Bank of Ireland and subject to limited regulation by the Financial Conduct Authority and Prudential Regulation Authority. BANA London is authorised by the Prudential Regulation Authority. Subject to regulation by the Financial Conduct Authority and limited regulation by the Prudential Regulation Authority. MBNA, MPLC, M1 Ltd, Wave Lending, Loans.co.uk Ltd, MLPM, MLCE and PACT is authorised and regulated by the Financial Conduct Authority Bank of America Corporation. Page 7 of 7