Fillable DRAFT Regulation VV Quantitative MeasurementsFR VV-1 (Federal Reserve Bank)

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DRAFT Regulation VV Quantitative MeasurementsFR VV-1 (Federal Reserve Bank)

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TB 5/28/2020_v4_9:30am
DRAFT
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,
sec-
tion 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:
YYYY-MM-DD (VVQM 9999)
Firm Name (VVQM 9017)
RSSD ID (VVQM 9001)
Create Date YYYY-MM-DD (VVQM F841)
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.
05/2020
Version Number (VVQM R656)
TB 5/28/2020_v4_9:30am
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05/2020
FR VV-1
Page 2 of 10
Internal Limits Information Schedule
Limit ID (VVQT Y382)
Name (VVQM W892)
Description (VVQM W893)
3.
Description of "Other" Category of Limit
VVQM
W894
3.
2.
4.
5.
1.
2.
Category of Limit (VaR, Position Limit, Sensitivity Limit, Stress Scenario, or Other)
VVQM
W896
4.
Source of Limit (Risk Appetite, Regulatory Capital, RENTD, Risk Reducing, or Other - Report up to 5 sources)
VVQM
KY40
5.
Risk Factor Attribution ID (only applicable if item 2, Category of Limit is Sensitivity Limit)
VVQX
T090
1.
Unit of Measurement
VVQM
Y391
TEXT
TEXT
TEXT
TEXT
TEXT
A separate Internal Limits Information Schedule must be submitted for each limit.
TB 5/28/2020_v4_9:30am
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05/2020
FR VV-1
Page 3 of 10
Risk Factor Attribution Information Schedule
Change Units (VVQT Y394)
Description (VVQM W899)
Name (VVQM W898)
Risk Factor Attribution ID (VVQT T090)
A separate Risk Factor Attribution Information Schedule must be submitted for each Risk Factor Attribution category.
TB 5/28/2020_v4_9:30am
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05/2020
FR VV-1
Page 4 of 10
Trading Desk Information Schedule
A separate Trading Desk Information Schedule must be submitted for each desk.
7.a.
7.c.
7.b.
Y386
VVQM
Number
c. Currency conversion rate to U.S. dollars .............................................................................
VVQM
Y380
0=No
1=Yes
b. Trading day indicator (Enter "1" for Yes; enter "0" for No.)...............................................................
a. Calendar date (report the date in YYYY-MM-DD)...................................................................
7. Daily trading desk information for each calendar date in the quarter (report 90-92 dates)
Date
VVQM
6.
Y385
6. Currency reported (three-letter currency code) .........................................................................
Code
VVQM
VVQM
KY45
0=No
1=Yes
5. Securities and Exchange Commission (Enter "1" for Yes; enter "0" for No.) ............................................ 5.
VVQM
KY43
0=No
1=Yes
3.3. Federal Reserve Board of Governors (Enter "1" for Yes; enter "0" for No.)..............................................
VVQM
KY44
0=No
1=Yes
4. Office of the Comptroller of the Currency (Enter "1" for Yes; enter "0" for No.)......................................... 4.
Type of Activity (report up to 24 Types) (VVQM W890)
Description (VVQM W891)
Trading Desk ID (VVQM Y383)
1. Commodity Futures Trading Commission (Enter "1" for Yes; enter "0" for No.) ........................................
VVQM
KY41
0=No
1=Yes
VVQM
KY42
0=No
1=Yes
1.
2.2. Federal Deposit Insurance Corporation (Enter "1" for Yes; enter "0" for No.) ...........................................
Agencies to which the Trading Desk is Reported
Y899
Name (VVQM Y384)
TB 5/28/2020_v4_9:30am
DRAFT
Quantitative Measurements Daily Schedule
Risk Management Measurements
Limit ID
VVQM
Y382
1.
1.
2. Limit size
b. Lower limit.................................................................................................................
3. Limit usage ...................................................................................................................
a. Upper limit.................................................................................................................
FC41
FC42
Y390
2.a.
2.b.
3.
Units Reported in Internal Limits Information Schedule Item 1
VVQM
Amount
TEXT
(VVQM Y383)
Trading Desk ID: Date:
YYYY-MM-DD (VVQ1 Y899)
A separate Internal Limits and Usage Part must be submitted for each limit applied for each trading day on every trading desk.
Part 1. Internal Limits and Usage
05/2020
FR VV-1
Page 5 of 10
TB 5/28/2020_v4_9:30am
DRAFT
Quantitative Measurements Daily Schedule—(Continued)
Risk Management Measurements—
(continued)
A separate Value-at-Risk Part must be submitted for each trading day on every trading desk.
Part 2. Value-at-Risk (VaR)
FR VV-1
Page 6 of 10
1. VaR.............................................................................................................................
1.
Y396
Units of Desk Currency
Amount
VVQM
(VVQM Y383)
Trading Desk ID: Date:
YYYY-MM-DD (VVQ2 Y899)
05/2020
TB 5/28/2020_v4_9:30am
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Quantitative Measurements Daily Schedule—(Continued)
FR VV-1
Page 7 of 10
A separate Comprehensive Profit and Loss Attribution - Measurements Part must be submitted for each trading day on every
trading desk.
1.
Comprehensive profit and loss ..........................................................................................
2. Profit and loss due to existing positions...............................................................................
3. Profit and loss due to new positions ...................................................................................
5.
Other attributable profit and loss........................................................................................
Y401
6.
Profit and loss due to actual cash flows...............................................................................
7.
Profit and loss due carry ..................................................................................................
8. Profit and loss due to reserve or valuation adjustment changes................................................
10.
Other unattributed profit and loss.......................................................................................
9. Profit and loss due to trade changes...................................................................................
Y403
Y404
Y405
Y406
Y407
Y398
Y399
Y400
1.
2.
3.
4.
5.
6.
7.
8.
9.
10.
Units of Desk Currency
Amount
VVQM
(VVQM Y383)
Trading Desk ID: Date:
YYYY-MM-DD (VVQ3 Y899)
4.
Profit and loss due to changes in risk factors........................................................................
Y402
Part 3A. Measurements
Part 3. Comprehensive Profit and Loss Attribution
Source-of-Revenue Measurements
05/2020
TB 5/28/2020_v4_9:30am
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FR VV-1
Page 8 of 10
Quantitative Measurements Daily Schedule—(Continued)
Source-of-Revenue Measurements—
(Continued)
Part 3. Comprehensive Profit and Loss Attribution—
(continued)
Risk Factor Attribution ID
2. Profit and loss due to risk factor move ................................................................................
Y414
2.
VVQM
T090
1.
1.
Units of Desk Currency
VVQM
Amount
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.
TEXT
(VVQM Y383)
Trading Desk ID: Date:
YYYY-MM-DD (VVQ3 Y899)
Part 3B. Measurements by Risk Factor
05/2020
TB 5/28/2020_v4_9:30am
DRAFT
Units of Desk Currency
VVQM
Amount
W901
W902
Y904
Y905
1.
2.
3.
4.
1. Long securities positions..................................................................................................
2. Short securities positions .................................................................................................
3. Derivatives receivables....................................................................................................
4. Derivatives payables .......................................................................................................
Market Value of All
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.
Positions, Transaction Volumes, and Securities Inventory Aging Measurements
Part 4. Positions
(VVQM Y383)
Trading Desk ID: Date:
YYYY-MM-DD (VVQ4 Y899)
05/2020
Quantitative Measurements Daily Schedule—(Continued)
FR VV-1
Page 9 of 10
TB 5/28/2020_v4_9:30am
DRAFT
FR VV-1
Page 10 of 10
05/2020
(Column A)
Gross Market
Value of All
Securities
Transactions
(Column B)
Number of All
Securities
Transactions
(Column C)
Gross Notional
Value of
All Derivatives
Transactions
(Column D)
Number of All
Derivatives
Transactions
VVQM W904
VVQM W908
Number
VVQM W905 VVQM W906 VVQM W903
VVQM W909 VVQM W910 VVQM W907
AmountNumberAmount
VVQM Y912 VVQM Y913VVQM Y911VVQM Y910
1. Conducted with customers
1
................................................... 1.
2. Conducted with non-customers
2
............................................. 2.
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).
3.3. Transactions with internal/affiliated counter parties.....................
Units of Desk Currency
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.
Positions, Transaction Volumes, and Securities Inventory Aging Measurements—(Continued)
Part 5. Transaction Volumes
(VVQM Y383)
Trading Desk ID: Date:
YYYY-MM-DD (VVQ5 Y899)
Quantitative Measurements Daily Schedule—(Continued)
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DRAFT Regulation VV Quantitative MeasurementsFR VV-1 (Federal Reserve Bank)

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Completed 19 July 2020

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