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

FR VV-1
OMB Number 7100-0360
Approval expires December 31, 2023
Page 1 of 10

Board of Governors of the Federal Reserve System

Regulation VV Quantitative Measurements—FR VV-1

This report is authorized by law: Section 13 of the BHC Act (12
U.S.C. §§ 1851(b)(2) and (e)(1)). The Federal Reserve may not
conduct or sponsor, and an organization (or a person) is not

required to respond to, a collection of information unless it
displays a currently valid OMB control number.

Submission Period End Date:
YYYY-MM-DD (VVQM 9999)

Firm Name (VVQM 9017)

Create Date YYYY-MM-DD (VVQM F841)

RSSD ID (VVQM 9001)

Create Time (VVQM F842)

Version Number (VVQM R656)

Public ongoing reporting burden for this information collection is estimated to be an average of 41 hour per response, including the time to gather and maintain data in the required form, to
review the 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 (7100-0360), 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 24 Types) (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
VVQM

Code

6. Currency reported (three-letter currency code) ......................................................................... Y385
VVQM

5.

6.
Date

7. Daily trading desk information for each calendar date in the quarter (report 90-92 dates)
a. Calendar date (report the date in YYYY-MM-DD)................................................................... Y899

7.a.
0=No VVQM

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

c. Currency conversion rate to U.S. dollars ............................................................................. 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)

YYYY-MM-DD (VVQ1 Y899)

1. Limit ID
VVQM
Y382 TEXT

Units Reported in Internal Limits Information Schedule Item 1
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)

YYYY-MM-DD (VVQ2 Y899)

Units of Desk Currency 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.

YYYY-MM-DD (VVQ3 Y899)

Units of Desk Currency
Comprehensive profit and loss ..........................................................................................
Profit and loss due to existing positions ...............................................................................
Profit and loss due to new positions ...................................................................................
Profit and loss due to changes in risk factors........................................................................
Other attributable profit and loss ........................................................................................
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 unattributed profit and loss.......................................................................................

VVQM
Y398
Y399
Y400
Y402
Y401
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)

YYYY-MM-DD (VVQ3 Y899)

1. Risk Factor Attribution ID
VVQM
T090 TEXT

Units of Desk Currency 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)

YYYY-MM-DD (VVQ4 Y899)

Units of Desk Currency
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—(Continued)
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)

YYYY-MM-DD (VVQ5 Y899)
(Column A)
Gross Market
Value of All
Securities
Transactions

Units of Desk Currency

(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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