Form FR VV-1 FR VV-1 Regulation VV Quantitative Measurements

FR VV-1
OMB Number 7100-0360
Approval expires March 31, XXXX
Page 1 of 10

Board of Governors of the Federal Reserve System

Regulation VV Quantitative Measurements—FR VV-1

This Report is required by law: Sections 163, 165, and 604 of the
Dodd-Frank Act; the International Banking Act, the Bank Holding
Company Act, and the Home Owners' Loan Act (12 U.S.C.
§ 1467a, 1844, 3106, and 3108);

and section 225.5(b) of Regulation Y, section 238.4(b) of
Regulation LL (12 CFR 225.5(b) and 238.4(b)), and section
252.153(b)(2) of Regulation YY (12 CFR 252.153(b)(2)).

Submission Period End Date:
Month / Day / Year (VVQM 9999)

Firm Name (VVQM 9017)

Version Number (VVQM R656)

RSSD ID (VVQM 9001)

Create Date YYYYMMDD (VVQM F841)

Report Name (VVQM C752)

Create Time (VVQM F842)

The ongoing public reporting burden for this information collection is estimated to average XX hour per response, including time to gather and maintain data in the required form and to
review instructions and complete the information collection. Comments regarding this burden estimate or any other aspect of this information collection, including suggestions for reducing
the burden, may be sent to Secretary, Board of Governors of the Federal Reserve System, 20th and C Streets, NW, Washington, DC 20551, and to the Office of Management and Budget,
Paperwork Reduction Project (7100-0352), Washington, DC 20503.

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FR VV-1
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Internal Limits Information Schedule
A separate Internal Limits Information Schedule must be submitted for each limit.
Name (VVQM W892)

Limit ID (VVQT Y382)

Description (VVQM W893)

1. Unit of Measurement
VVQM
Y391 TEXT

1.

2. Category of Limit (VaR, Position Limit, Sensitivity Limit, Stress Scenario, or Other)
VVQM
W896 TEXT

2.

3. Description of "Other" Category of Limit
VVQM
W894 TEXT

3.

4. Source of Limit (Risk Appetite, Regulatory Capital, RENTD, Risk Reducing, or Other - Report up to 5 sources)
VVQM
KY40 TEXT

4.

5. Risk Factor Attribution ID (only applicable if item 2, Category of Limit is Sensitivity Limit)
VVQX
T090

TEXT

5.

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FR VV-1
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Risk Factor Attribution Information Schedule
A separate Risk Factor Attribution Information Schedule must be submitted for each Risk Factor Attribution category.

Name (VVQM W898)

Risk Factor Attribution ID (VVQT T090)

Description (VVQM W899)

Change Units (VVQT Y394)

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FR VV-1
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Trading Desk Information Schedule
A separate Trading Desk Information Schedule must be submitted for each desk.
Name (VVQM Y384)

Trading Desk ID (VVQM Y383)

Description (VVQM W891)
Type of Activity (report up to 24Types) (VVQM W890)

Agencies to which the Trading Desk is Reported
0=No VVQM

1. Commodity Futures Trading Commission (Enter "1" for Yes; enter "0" for No.) ........................................ 1=Yes KY41

1.

0=No VVQM

2. Federal Deposit Insurance Corporation (Enter "1" for Yes; enter "0" for No.) ........................................... 1=Yes KY42

2.

0=No VVQM

3. Federal Reserve Board of Governors (Enter "1" for Yes; enter "0" for No.).............................................. 1=Yes KY43

3.

0=No VVQM

4. Office of the Comptroller of the Currency (Enter "1" for Yes; enter "0" for No.) ......................................... 1=Yes KY44

4.

0=No VVQM

5. Securities and Exchange Commission (Enter "1" for Yes; enter "0" for No.) ............................................ 1=Yes KY45

5.

U.S. Dollar Amounts in Thousands VVQM
6. Currency reported .............................................................................................................. Y385

6.

7. Daily trading desk information (report 90-92 dates)
a. Date of report (report the date in MM/DD/YYYY)

VVQM
Y899

Amount

Date

7.a.
0=No VVQM

b. Trading day indicator (Enter "1" for Yes; enter "0" for No.) ............................................................... 1=Yes Y380
VVQM

c. Conversion rate of USD ................................................................................................... Y386

7.b.

Number

7.c.

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FR VV-1
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Quantitative Measurements Daily Schedule
Risk Management Measurements
Part 1. Internal Limits and Usage
A separate Internal Limits and Usage Part must be submitted for each limit applied for each trading day on every trading desk.
Trading Desk ID:

Date:
(VVQM Y383)

Month / Day / Year (VVQ1 Y899)

1. Limit ID
VVQM
Y382 TEXT

U.S. Dollar Amounts in Thousands
2. Limit size
a. Upper limit .................................................................................................................
b. Lower limit .................................................................................................................
3. Limit usage ...................................................................................................................

1.
VVQM
FC41
FC42
Y390

Amount

2.a.
2.b.
3.

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FR VV-1
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Quantitative Measurements Daily Schedule—(Continued)
Risk Management Measurements—(continued)
Part 2. Value-at-Risk (VaR)
A separate Value-at-Risk Part must be submitted for each trading day on every trading desk.
Trading Desk ID:

Date:
(VVQM Y383)

Month / Day / Year (VVQ2 Y899)

U.S. Dollar Amounts in Thousands VVQM
1. VaR ............................................................................................................................. Y396

Amount

1.

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FR VV-1
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Quantitative Measurements Daily Schedule—(Continued)
Source-of-Revenue Measurements
Part 3. Comprehensive Profit and Loss Attribution
Part 3A. Measurements
A separate Comprehensive Profit and Loss Attribution - Measurements Part must be submitted for each trading day on every
trading desk.
Trading Desk ID:

Date:
(VVQM Y383)

1.
2.
3.
4.
5.
6.
7.
8.
9.
10.

Month / Day / Year (VVQ3 Y899)

U.S. Dollar Amounts in Thousands
Comprehensive profit and loss ..........................................................................................
Profit and loss due to existing positions ...............................................................................
Profit and loss due to new positions ...................................................................................
Residual profit and loss ...................................................................................................
Profit and loss due to changes in risk factors and other factors ................................................
Profit and loss due to actual cash flows...............................................................................
Profit and loss due carry ..................................................................................................
Profit and loss due to reserve or valuation adjustment changes................................................
Profit and loss due to trade changes...................................................................................
Other ...........................................................................................................................

VVQM
Y398
Y399
Y400
Y401
Y402
Y403
Y404
Y405
Y406
Y407

Amount

1.
2.
3.
4.
5.
6.
7.
8.
9.
10.

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FR VV-1
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Quantitative Measurements Daily Schedule—(Continued)
Source-of-Revenue Measurements—(Continued)
Part 3. Comprehensive Profit and Loss Attribution—(continued)
Part 3B. Measurements by Risk Factor
A separate Comprehensive Profit and Loss Attribution Measurements by Risk Factor Part must be submitted for each risk factor attribution calculated for each trading day on every trading desk.
Trading Desk ID:

Date:
(VVQM Y383)

Month / Day / Year (VVQ3 Y899)

1. Risk Factor Attribution ID
VVQM
T090 TEXT

U.S. Dollar Amounts in Thousands VVQM
2. Profit and loss due to risk factor move ................................................................................ Y414

1.
Amount

2.

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FR VV-1
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Quantitative Measurements Daily Schedule—(Continued)
Positions, Transaction Volumes, and Securities Inventory Aging Measurements
Part 4. Positions
A separate Positions Part must be submitted for each trading day on every trading desk that relies on Section 255.4(a) or (b) to conduct underwriting activity or market-making-related activity.
Trading Desk ID:

Date:
(VVQM Y383)

Month / Day / Year (VVQ4 Y899)

U.S. Dollar Amounts in Thousands
Market Value of All
1. Long securities positions ..................................................................................................
2. Short securities positions .................................................................................................
3. Derivatives receivables ....................................................................................................
4. Derivatives payables .......................................................................................................

VVQM
W901
W902
Y904
Y905

Amount

1.
2.
3.
4.

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FR VV-1
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Quantitative Measurements Daily Schedule—(Continued)
Positions, Transaction Volumes, and Securities Inventory Aging Measurements
Part 5. Transaction Volumes
A separate Transaction Volumes Part must be submitted for each trading day on every trading desk that relies on Section 255.4(a)
or (b) to conduct underwriting activity or market-making-related activity.
Trading Desk ID:

Date:
(VVQM Y383)

Month / Day / Year (VVQ5 Y899)
(Column A)
Gross Market
Value of All
Securities
Transactions

U.S. Dollar Amounts in Thousands

(Column B)
Number of All
Securities
Transactions

(Column C)
Gross Notional
Value of
All Derivatives
Transactions

(Column D)
Number of All
Derivatives
Transactions

Amount

Number

Amount

Number

VVQM W905

VVQM W906

VVQM W903

VVQM W904

VVQM W909

VVQM W910

VVQM W907

VVQM W908

VVQM Y910

VVQM Y911

VVQM Y912

VVQM Y913

1. Conducted with customers1 ...................................................

1.

2. Conducted with non-customers2 .............................................

2.

3. Transactions with internal/affiliated counter parties .....................

3.

1. For purposes of the Transaction Volumes quantitative measurement, transactions conducted with customers exclude internal transactions
(i.e., inter-affiliate and intra-company transactions).
2. For purposes of the Transaction Volumes quantitative measurement, transactions conducted with non-customers exclude internal transactions
(i.e., inter-affiliate and intra-company transactions).

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