Reporting Section 248.20(d) ($20 billion or more) (Initial Setup)

INSTRUCTIONS FOR PREPARATION OF

Regulation VV Quantitative Measurements
FR VV-1
General Instructions:
Each banking entity directly supervised by the [Agency] that is subject to the metrics reporting requirement
specified in Regulation VV § __.20(d) must furnish quantitative measurements, as applicable, for each of its trading
desks engaged in covered trading activity. 1 The quantitative measurements must comply with the Regulation VV
Appendix. These instructions provide guidance for the preparation of the Narrative Statement, the trading desk
information schedule, the quantitative measurements information schedules, and each applicable quantitative
measurement to the [Agency]. 2 If a banking entity and one or more of its affiliates are required to report
quantitative measurements to the [Agency] pursuant to § __.20(d), the banking entity and its affiliate(s) should
prepare one combined submission to the [Agency] that follows the Appendix, these Instructions, the Technical
Specifications Guidance, and the XML Schema.

Who Must Report:
Banking entities with significant trading assets and liabilities as defined in § __.2(ee) are required to report metrics
for each trading day on a quarterly basis to the [Agency] 3. The determination for the metrics reporting requirement
is also made quarterly, based on trading assets and liabilities measured as of the last day of each of the four previous
calendar quarters. If a banking entity does not report metrics and subsequently determines that it does have
significant trading assets and liabilities, the staffs of the Agencies expect that the banking entity will begin reporting
metrics for trading days in the next calendar quarter. If a banking entity reports metrics and subsequently
determines that it no longer has significant trading assets and liabilities, the banking entity should report metrics for
the trading days in the past calendar quarter but is not required to report metrics going forward until the banking
entity again has significant trading assets and liabilities.
Notwithstanding the preceding paragraph, pursuant to § __.20(d), the [Agency] may notify a banking entity in
writing that it must report on a different basis. 4 Additionally, [Agency] may notify a banking entity that does not
have significant trading assets and liabilities in writing that it must satisfy the reporting requirements contained
in the Appendix. 5

Frequency of Reporting:
Banking entities subject to the reporting requirement should report these metrics within 30 days of the end of each
calendar quarter, unless [Agency] notifies the banking entity in writing that it must report on a different basis. 6

1

Generally, “trading desk” is the same unit of organization that is established for market risk capital calculations.
See § __.3(e)(14)(ii). For metrics reporting, “covered trading activity” must include trading conducted under §§
__.4 (underwriting activity and market making-related activity), __.5 (risk-mitigating hedging), __.6(a) (trading in
certain domestic government obligations), or __.6(b) (trading in certain foreign government obligations), but for
closer alignment with market risk capital covered positions, may also include trading conducted under §§ __.3(d)
(specified exclusions from proprietary trading), __.6(c) (trading on behalf of customers), __.6(d) (certain trading by
insurance companies and their affiliates), or __.6(e) (certain trading by foreign banking entities). See Appendix II.
2
See Appendix III.e.
3
See § __.2(d).
4
See § __.20(d)(2).
5
See § __.20(d)(1)(ii).
6
See § __.20(d)(2).

1

Narrative Statement
The banking entity may submit in a separate electronic document a Narrative Statement to the [Agency] with any
information the banking entity views as relevant for assessing the information reported. The Narrative Statement
may include further description of or changes to calculation methods, identification of material events, description of
and reasons for changes in the banking entity’s trading desk structure or trading desk strategies, and when any such
changes occurred. 7 The banking entity should report the Narrative Statement in Portable Document Format
(“PDF”).

Information Schedules
Trading Desk Information Schedule
With each submission of quantitative measurements, the banking entity must provide the following information for
each trading desk engaged in covered trading activities: 8
1.
2.

Trading desk name. Provide the name of the trading desk used internally by the banking entity.
Trading desk identifier. Provide a unique character string to identify the trading desk. This identifier
should generally remain constant for every quantitative measurements submission. 9
3. Type of covered trading activity. Identify each covered trading activity in which the trading desk is
engaged. Choose from the activity types listed in Table A at the end of these instructions to identify the
relevant exemptions or exclusions, and provide the associated code for each type of covered trading activity
selected.
4. Trading desk description. Provide a brief description of the general strategy of the trading desk.
5. Reported to CFTC. Identify whether this desk books trades through a legal entity whose primary federal
regulator is the Commodity Futures Trading Commission.
6. Reported to FDIC. Identify whether this desk books trades through a legal entity whose primary federal
regulator is the Federal Deposit Insurance Commission
7. Reported to FRB. Identify whether this desk books trades through a legal entity whose primary federal
regulator is the Federal Reserve Board
8. Reported to OCC. Identify whether this desk books trades through a legal entity whose primary federal
regulator is the Office of the Comptroller of the Currency
9. Reported to SEC. Identify whether this desk books trades through a legal entity whose primary federal
regulator is the Securities and Exchange Commission
10. Currency reported. Specify the currency used by the trading desk.
11. Daily trading desk information.
• Trading day indicator. Provide a list of calendar dates in the reporting period, indicating for each
date if it is a trading day or not a trading day 10 for the desk.

7

See Appendix III.d.
See Appendix III.b.
9
If a banking entity restructures its operations and merges two or more trading desks, the banking entity should
assign a new trading desk identifier to the merged desk (i.e., the merged desk’s identifier should not replicate a
trading desk identifier assigned to a previously unmerged trading desk) and permanently retire the unmerged desks’
identifiers.
10
As a general matter, a trading desk is not considered to be open for trading on a weekend. However, if a trading
desk books positions into a banking entity on a calendar day that is not a business day (e.g., a day that falls on a
weekend), then the desk is considered open for trading on that day. In addition, a trading desk may be open for
trading on a national holiday. For example, if a trading desk spans a U.S. legal entity and a foreign legal entity and a
national holiday occurs on a business day in the United States but a national holiday does not occur on the same day
in the foreign jurisdiction, the date is a trading day because the trading desk is open to conduct trading in the foreign
jurisdiction.
8

2

•

Currency conversion rate. Specify the conversion rate for the specified currency to U.S. dollars
for each trading day. If values for a trading desk are reported in a currency other than U.S. dollars,
specify the multiplier conversion rate (not divisor) for the specified currency to U.S. dollars for the
trading desk. For U.S. dollars, report 1.

Quantitative Measurements Information Schedules
With each submission of quantitative measurements, the banking entity must provide an Internal Limits Information
Schedule and a Risk Factor Attribution Information Schedule. 11 Each banking entity must provide the required
information for the entire banking entity’s covered trading activity. A banking entity should not prepare multiple
versions of the same schedule for each trading desk engaged in covered trading activity.

Internal Limits Information Schedule
Limits are existing constraints that define the amount of risk that a trading desk is permitted to take at a point in
time, as defined by the banking entity for a specific trading desk. 12 Limits are often expressed in terms of risk
measures, such as Value-at-Risk (VaR) and Risk Factor Sensitivities, but may also be expressed in terms of other
observable criteria, such as net open positions or inventory aging.
On the Internal Limits Information Schedule, the banking entity must provide identifying and descriptive
information for each limit that is reported in the Internal Limits and Usage metric. Provide the following
information: 13
1.

2.
3.
4.
5.

6.
7.

Limit ID. A character string to be used as the permanent unique identifier for the limit. The limit ID is
permanent in the sense that it has the same meaning in all future quantitative measurements submissions,
even if the set of trading desks to which the limit applies changes.
Limit name. The name of the limit.
Limit description. A description of the limit.
Unit of measurement. The unit in which the limit is measured, e.g., basis points, USD, etc.
Type of limit. Identify which of the following categories best describes the limit.
a. VaR
b. Position limit
c. Sensitivity limit
d. Stress scenario
e. Inventory aging
f. Other
If “Other” is chosen as a type of limit, provide a brief description of this category
Source of limit. Identify which of the following sources of analysis determines the limit. 14
a. Risk Appetite
b. Regulatory Capital
c. Reasonably Expected Near Term Demand (RENTD)
d. Risk Reducing or Risk Mitigating
e. Other

11

See Appendix III.c.
See Appendix IV.a.1.i.
13
See Appendix III.c.
14
If a banking entity establishes distinct limits on the same measure (e.g. VaR) based on separate sources of analysis
(e.g. distinct limits based on risk appetite and RENTD) then these should be identified as different limits. For a
trading desk where multiple limits are applied to the same measure, the Daily Quantitative Measurements Schedule
should include entries for each limit identifier with identical values of usage but potentially differing limit sizes.
Alternatively, if a banking entity establishes a single limit that is informed by more than one source of analysis, this
should be represented with a single limit identifier with multiple sources indicated.
12

3

8.

Attribution identifier. The Risk Factor Attribution ID from the Risk Factor Attribution Information
Schedule. This is only applicable for sensitivity limits (as reported in item 7) on sensitivities for which
there is a corresponding profit and loss attribution category for the same risk factor.

Risk Factor Attribution Information Schedule
The banking entity must report the profit and loss due to changes in the specific risk factors and other factors that are
monitored and managed as part of the trading desk’s overall risk management policies and procedures. 15
On the Risk Factor Attribution Information Schedule, the banking entity must provide identifying and descriptive
information for each risk factor attribution reported in Part 3.B. of the Comprehensive Profit and Loss Attribution
metric. Provide the following information: 16
1.

2.
3.
4.

Risk Factor Attribution ID. A character string to be used as the permanent unique identifier for the risk
factor or other factor attribution. The Risk Factor Attribution ID is permanent in the sense that it has the
same meaning in all future quantitative measurements submissions, even if the set of trading desks for
which the attribution is reported changes.
Risk factor name. The name of the risk factor or other factor.
Risk factor description. A description of the risk factor or other factor.
Risk factor change units. Report the type of units of the risk factor or other factor change that the entity has
identified that impact the portfolio value (for example, for a DV01, the unit is in basis points, while for
Equity Delta, the unit is a dollar change in equity prices or percentage change in equity prices).

Daily Quantitative Measurements Schedule
Provide the following quantitative measurements, as applicable, for each trading day and for each trading desk
engaged in covered trading activity. 17 Report the actual amounts in the currency utilized by a particular trading
desk. Do not report amounts in abbreviated form, such as thousands. A banking entity may explain its inability to
provide any quantitative measurement in the entity’s Narrative Statement.
Under § __.3(c)(2), a banking entity’s positions in excluded products (i.e., loans, spot commodities, and spot foreign
exchange or currency) are not subject to the rule’s restrictions on proprietary trading. 18 A banking entity may,
however, include exposures in loans, spot commodities, and spot foreign exchange or currency that are related to the
desk’s covered trading activities in its quantitative measurements. 19 A banking entity should use a consistent
approach for including or excluding any positions in products that are not securities, commodity futures contracts,
derivatives, or options on any of these instruments when calculating metrics for a trading desk. 20
The appropriate approach to calculating quantitative measurements for a trading desk engaged in underwriting
activity will depend on the banking entity’s role in the distribution, as well as the particular facts and circumstances
of the distribution. A banking entity that is a member of the underwriting syndicate should account for the banking
entity’s portion of any position attributable to the distribution, based on the number, amount, or percentage of
securities the banking entity has purchased under the relevant underwriting agreement. In addition, to the extent the
15

See Appendix IV.b.1.i.B.
See Appendix III.c.
17
See Appendix IV.
18
See §§ __.3(a); __.3(c)(2).
19
Banking entities may elect to include such information in their quantitative measurements where doing so
provides a more accurate picture of the risks associated with the trading desk. For example, a market maker in
foreign exchange forwards or swaps that mitigates the risks of its market-maker inventory with spot foreign
exchange may include in its metrics the spot foreign exchange positions.
20
A banking entity should not incorporate excluded products in the quantitative measurements of a trading desk for
one period, and omit these products from the desk’s measurements the following period. If a banking entity decides
to change its approach to excluded products with respect to the quantitative measurements of one or more trading
desks, the banking entity may provide notice of this change in its Narrative Statement.
16

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banking entity has responsibility for managing positions that are credited to the accounts of syndicate members
collectively, the banking entity should account for those positions when calculating metrics for the relevant
underwriting desk until the securities are disbursed to syndicate members. 21

A. Risk-Management Measurements
Part 1. Internal Limits and Usage
A banking entity is required to report the Internal Limits and Usage quantitative measurement for all trading desks
engaged in covered trading activities. 22
For a trading desk engaged in market making-related activities or risk-mitigating hedging, the limits required under
these exemptions must include appropriate metrics for the trading desk limits including, at a minimum, “Value-atRisk”, except to the extent the “Value-at-Risk” metric is demonstrably ineffective for measuring and monitoring the
risks of a trading desk based on the types of positions traded by, and risk exposures of, that desk. 23
Multiple trading desks may have limits that are established using the same method and apply to quantities or
measures defined the same way. For example, multiple desks may have limits on the same risk factor sensitivity
that are based on similar RENTD analyses. So that limits can be compared across trading desks, use the same
identifier for limits that are established using the same method and apply to quantities or measures defined the same
way. Give the name and description of each limit along with an identifier and other information in the Internal
Limits Information Schedule.
For each trading desk, provide the following information for each limit that is applied on the desk for every trading
day the limit was applied. 24 Each type of limit may be reported on one or more trading desks. If a limit is
introduced or discontinued during a reporting period, report the following information for each trading day that the
trading desk used the limit during the period.
Item 1: Limit ID
Report the limit ID listed in the Internal Limits Information Schedule.
Item 2.a: Limit Size—Upper Limit
If the limit represents an upper bound on the measure (i.e. a constraint that the value of the measure should remain
lower than the value of the limit) then report an upper limit. 25 If the limit only applies a lower bound constraint then
do not report an upper limit.

21

For example, assume a lead manager manages an unsold allotment arising from the distribution for a period of
time and then disburses any remaining securities proportionally to other syndicate members. For the period of time
in which a banking entity that is the lead manager manages the unsold allotment, such unsold allotment should be
accounted for in the metrics of that banking entity’s underwriting desk. However, once the unsold allotment is
disbursed to other syndicate members, a banking entity receiving the disbursement should begin to account for its
position in the metrics of its underwriting desk and the lead manager need only account for its own positions and
any remaining syndicate positions in its metrics.
22
See Appendix IV.a.1.
23
See id.
24
See id.
25
A single limit may apply both an upper and a lower constraint, in which case both items 2.a and 2.b should be
reported. Upper and lower limit sizes may be positive or negative, and they may or may not be symmetrical. A
limit that applies to the absolute value of a quantity should be represented as symmetric (positive) upper limit size
and (negative) lower limit sizes with the signed value of usage reported for the measure being limited.

5

Item 2.b: Limit Size—Lower Limit
If the limit represents a lower bound on the measure (i.e. a constraint that the value of the measure should remain
higher than the value of the limit) then report a lower limit. Report negative lower limits as negative values. If the
limit only applies an upper bound constraint then do not report a lower limit.
Item 3: Value Usage
Report the value of the trading desk’s risk or positions that are accounted for by the daily activity of the desk. For
limits accounted for at the end of the day, report the value of usage as of the end of the day. For limits accounted for
during the day (intraday), report the maximum value of usage. Report the actual value of the risk or positions, not
the percentage of the upper or lower limit utilized.

Part 2. Value-at-Risk (VaR)
A banking entity is required to report the VaR quantitative measurement for all trading desks engaged in covered
trading activities. 26
When reporting the VaR measurements, report the risk of future financial loss in the value of the trading desk’s
aggregated positions at the 99% confidence level over a 1-day holding period. 27 Use the sign convention of a
positive number for the value at risk of loss. Banking entities should compute and report VaR consistently with
federal regulatory capital requirements. 28 If a trading desk does not have a standalone VaR calculation, but is part of
a larger aggregation of positions for which a VaR calculation is performed, a VaR calculation that includes only the
trading desk’s holdings should be performed consistently with the VaR model and methodology used for the larger
aggregation of positions.
Item 1: VaR
Report the measurement of the risk of future financial loss in the value of the trading desk’s aggregated positions at
the 99% confidence level over a 1-day holding period, based on current market conditions. Banking entities may
calibrate to a 1-day holding period using appropriate scaling of a VaR measure made for a different holding
period. 29

B. Source-of-Revenue Measurements
Part 3. Comprehensive Profit and Loss Attribution
A banking entity is required to report the Comprehensive Profit and Loss Attribution quantitative measurement for
all trading desks engaged in covered trading activities. Comprehensive Profit and Loss Attribution is an analysis
that attributes the daily fluctuation in the value of a trading desk’s positions to various sources. 30 First, the sources
of profit and loss are divided into two categories: (i) profit and loss attributable to positions that were held by the
trading desk as of the end of the prior day (“existing positions”); and (ii) profit and loss attributable to new positions
resulting from the current day’s trading activity (“new positions”).
The profit and loss from new positions is reported in the aggregate, and does not need to be further attributed to
specific sources. The profit and loss from existing positions must be further divided into (i) hypothetical profit and
26

See Appendix IV.a.2.
See id.
28
Computation of VaR is described under Section 205 of the Market Risk Rule. Computation of Stressed VaR is
described under Section 206 of the Market Risk Rule.
29
In cases where a banking entity does not have a regulatory VaR, the banking entity should use a VaR consistent
with the banking agencies’ regulatory capital requirements. Banking entities may scale their VaR to arrive at a 99th
percentile confidence level over a 1-day time horizon, either by scaling the percentile, time horizon, or both.
30
See Appendix IV.b.1.
27

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loss, which is the change in value of existing positions based on the market data at the end of the current day, 31 and
(ii) any other applicable elements, such as cash flows, carry, changes in reserves and valuation adjustments, and the
correction, cancellation, or exercise of a trade. Finally, hypothetical profit and loss must be reported in two parts: (i)
profit and loss that is attributed to changes in specific risk factors that are monitored and managed as part of the
trading desk’s overall risk management policies and procedures, and (ii) residual profit and loss.
Report in Part 3.A Item 4 the total profit and loss that is attributed to changes in specific risk factors. Report in Part
3.B the profit or loss attributed to each individual risk factor. 32

Part 3.A: Comprehensive Profit and Loss Attribution Measurements
For each trading desk, provide the following information for every trading day. 33
Item 1: Comprehensive Profit and Loss
Report the trading desk’s daily actual profit and loss from all sources.
Item 2: Profit and Loss Due to Existing Positions
Report the profit and loss attributable to positions that were held by the trading desk as of the end of the prior day.
Item 3: Profit and Loss Due to New Positions
Report the profit and loss attributable to new positions resulting from the current day’s trading activity. New
positions include purchases and sales of financial instruments and other assets/liabilities and negotiated amendments
to existing positions.
Profit and loss due to new positions must reflect commissions and fee income or expenses, and market gains or
losses associated with transactions executed on the applicable day. Include bid/ask spread along with the market
gains or losses by calculating the difference between the value of the instruments when bought and/or sold and the
value at which those instruments are marked to market at the close of business on that day. Any fees, commissions,
or other payments received (paid) that are associated with transactions executed on that day are added (subtracted)
from such difference. These factors should be measured consistently over time to facilitate historical comparisons.
Note: Items 4 through 10 reflect profit and loss attributable to existing positions and are therefore subsets of Item
2. Profit and loss are uniquely attributed to Items 4 through 10 (i.e., do not duplicate attributions in more than one
item).
Item 4: Profit and Loss Attributed to Changes in Risk Factors
Report the profit and loss due to changes in the specific risk factors and other factors that are monitored and
managed as part of the trading desk’s overall risk management policies and procedures.
Item 5: Residual Profit and Loss
Report the portion of hypothetical profit and loss that is not specifically attributed to risk factors. The sum of Item 4
and Item 5 must equal the profit or loss from revaluing the existing positions using the market data at the end of the
current day.
Item 6: Profit and Loss Due to Actual Cash Flows
Report the profit and loss due to actual cash flows, if not included elsewhere.

31

The calculation of hypothetical profit and loss for existing positions should exclude valuation adjustments,
commissions, fees, reserves, net interest income, intraday trading, and time effects.
32
See id.
33
See id.

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Item 7: Profit and Loss Due to Carry
Report the profit and loss due to changes in carry. Generally, this item includes funding costs. Note that Item 7
does not include items otherwise included in Items 4 or 5.
Item 8: Profit and Loss Due to Reserve or Valuation Adjustment Changes
Report the profit and loss due to changes in reserves or valuation adjustments.
Item 9: Profit and Loss Due to Trade Changes
Report the profit and loss due to changes emanating from the correction, cancellation, or exercise of a trade.
Material amendments to the economic terms of existing financial instrument contracts (other than corrections,
cancellations or exercises) are considered new trades and reported in accordance with Item 3.
Item 10: Other Profit and Loss
Report any other profit and loss on existing positions that are not included in Item 4 through Item 9.

Part 3.B: Comprehensive Profit and Loss Attribution Measurements by Risk Factor
Report the risk factors and other factors that comprise Part 3.A, Item 4, Profit and Loss Due to Change in Risk
Factors. Banking entities must include enough risk factors to explain the preponderance of the profit or loss changes
due to risk factor changes. The methods used by a banking entity to calculate attribution to a common factor shared
by multiple trading desks, such as an equity price factor, should be applied consistently across its trading desks so
that the attributions can be compared from one trading desk to another. Give the name and description of each
attribution along with an identifier in the Risk Factor Attribution Information Schedule.
For each trading desk, provide the following information for each risk factor attribution that is calculated for the
desk’s hypothetical profit and loss. 34 Each risk factor attribution may be reported on one or more trading desks. If
an attribution is introduced or discontinued during a reporting period, report the following information for each
trading day that the trading desk used the risk factor attribution during the period.
Item 1: Risk Factor Attribution ID
Report the Risk Factor Attribution ID listed in the Risk Factor Attribution Information Schedule.
Item 2: Profit and Loss Due to Risk Factor Move
Report the amount of profit or loss due to the risk factor or other factor change.

C. Positions and Transaction Volumes
Each of the following quantitative measurements requires a banking entity to determine the “value” of a trading
desk’s positions in applicable financial instruments. 35 Although these quantitative measurements are required only
for trading desks that engage in certain types of covered trading activity, 36 the reported quantitative measurements
must reflect all of the covered trading activities in applicable financial instruments conducted by the desk. 37
34

See id.
See Appendix IV.c.
36
See Appendix IV.c.1.iv; 2.iv; 3.iv.
37
For example, if a trading desk relies on § __.4(b) and § __.5 to conduct market making-related activity and riskmitigating hedging activity, respectively, the reported Positions and Transactions Volumes for the desk must reflect
the risk-mitigating hedging activity and market making-related activity. The trading desk in this example is not
required to include trading activity conducted under §§ __.3(d), __.6(c), __.6(d), or __.6(e) in the Positions and
Transactions Volumes, unless the banking entity includes such activity as “covered trading activity” for the desk
under the Appendix. This is consistent with the definition of “covered trading activity,” which provides that a
35

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Part 4. Positions
A banking entity is required to report the Positions quantitative measurement for trading desks that rely on § __.4(a)
or § __.4(b) to conduct underwriting activity or market making-related activity, respectively.
The Positions quantitative measurement represents the value of all securities and derivatives positions managed by
the trading desk. 38 For purposes of the Positions quantitative measurement, do not include in the Positions
calculation for “securities” those securities that are also “derivatives,” as those terms are defined under §§ __.2(aa)
and __.2(h); instead, report those securities that are also derivatives as “derivatives.” 39
For each applicable trading desk, 40 provide the following information for every trading day. 41
Item 1: Market Value of All Long Securities Positions
Item 2: Market Value of All Short Securities Positions
Item 3: Market Value of All Derivatives Receivables
Item 4: Market Value of All Derivatives Payables

Part 5. Transaction Volumes
A banking entity is required to report the Transaction Volumes quantitative measurement for trading desks that rely
on § __.4(a) or § __.4(b) to conduct underwriting activity or market making-related activity, respectively. 42
The Transaction Volumes metric measures three exclusive categories of security and derivative transactions
conducted by a trading desk. Specifically, a banking entity must report the value and number of security and
derivative transactions conducted by the trading desk with: (i) customers, excluding internal transactions; (ii) noncustomers, excluding internal transactions; and (iii) internal transactions, which are transactions with another trading
desk and other organizational units where the transaction is booked into either the same banking entity or an
affiliated banking entity.
For a trading desk engaged in market making-related activity, a counterparty is considered to be a customer of the
trading desk if the counterparty is a market participant that makes use of the banking entity’s market making-related
services by obtaining such services, responding to quotations, or entering into a continuing relationship with respect
to such services. For a trading desk engaged in underwriting activity, a counterparty is considered to be a customer
of the trading desk if the counterparty is a market participant that may transact with the banking entity in connection
with a particular distribution for which the banking entity is acting as underwriter. 43
Report transactions with a trading desk or other organizational unit of an unaffiliated banking entity as transactions
with non-customers if the unaffiliated banking entity has trading assets and liabilities of $50 billion or more as
measured in accordance with the methodology described in § __.2(ee), unless (i), or there is documentation
satisfying § __.3(b)(3)(i)(A) as to how and why a particular trading desk or other organizational unit of the

banking entity may include in its covered trading activity trading conducted under §§ __.3(d), __.6(c), __.6(d), or
__.6(e).
38
The reported values should be based on the trading desk’s end-of-day positions for a given trading day.
39
See Appendix IV.c.1; see also §§ __.2(h), (y). For example, under the rule, a security-based swap is both a
“security” and a “derivative.” For purposes of the Positions quantitative measurement, security-based swaps are
reported as derivatives rather than as securities.
40
See AppendixIV.c.1.iv.
41
See Appendix IV.c.1.
42
See Appendix IV.c.2; see also §§ __.2(h), (y).
43
See § __.4(a)(7); Appendix IV.c.2.i.

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unaffiliated entity should be treated as a customer (ii) the transaction is conducted anonymously on an exchange or
similar trading facility that permits trading on behalf of a broad range of market participants.
Material amendments to the economic terms of existing financial instrument contracts (other than corrections,
cancellations, or exercises) are considered new trades. 44 Do not include in the Transaction Volumes calculation for
“securities” those “securities” that are also “derivatives,” as those terms are defined under §§ __.2(aa) and __.2(h);
instead, report those securities that are also derivatives as “derivatives.” For commodity derivatives, the gross
notional value means the gross notional value in the desk’s reporting currency, i.e., the current dollar market value
of the quantity of the commodity underlying the derivative. 45
For each applicable trading desk, 46 provide the following information for every trading day. 47
Item 1: Gross market value of all securities transactions conducted with customers
Item 2: Number of all securities transactions conducted with customers
Item 3: Gross notional value of all derivatives transactions conducted with customers
Item 4: Number of all derivatives transactions conducted with customers
Item 5: Gross market value of all securities transactions conducted with non-customers
Item 6: Number of all securities transactions conducted with non-customers
Item 7: Gross notional value of all derivatives transactions conducted with non-customers
Item 8: Number of all derivatives transactions conducted with non-customers
Item 9: Gross market value of all internal securities transactions
Item 10: Number of all internal securities transactions
Item 11: Gross notional value of all internal derivatives transactions
Item 12: Number of all internal derivatives transactions

44

For example, unwinds, partial terminations, novations, assignments of financial instrument contracts, a change to
the end date for a financial instrument contract, or a change in the cash flows or rates originally reported for a
financial instrument contract generally should be treated as additive trade count events for purposes of the
Transaction Volumes quantitative measurement.
45
E.g., a derivative on 100,000 barrels of a certain grade of oil would have a notional value of 100,000 multiplied by
the current market value of a barrel of that grade of oil.
46
See Appendix IV.c.2.iv.
47
See Appendix IV.c.2.

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TABLE A
Type of Covered Trading Activity
Code
UW
MM
Hedging
Hedging of
Excluded
US Gov
Foreign Gov
Fiduciary
RP
Insurance
TOTUS
Repo
Sec Lending
Liquidity
Mgmt
DCO/CA
Clearing
Member
Delivery
Judicial
Agent
Employee
DPC
Purchase Error
Matched Swap
MSR Hedge
NTAL

Type of Covered Trading Activity
Underwriting activity exempted under § __.4(a)
Market making-related activity exempted under § __.4(b)
Risk-mitigating hedging activity exempted under § __.5 with respect to financial
instruments
Risk-mitigating hedging activity exempted under § __.5, conducted exclusively to hedge
excluded products
Trading in domestic government obligations exempted under § __.6(a)
Trading in foreign government obligations exempted under § __.6(b)
Fiduciary transactions exempted under § __.6(c)(1)
Riskless principal transactions exempted under § __.6(c)(2)
Trading by an insurance company or its affiliate exempted under § __.6(d)
Trading by a foreign banking entity exempted under § __.6(e)
Activity excluded under § __.3(d)(1)
Activity excluded under § __.3(d)(2)
Activity excluded under § __.3(d)(3)
Activity excluded under § __.3(d)(4)
Activity excluded under § __.3(d)(5)
Activity excluded under § __.3(d)(6)(i)
Activity excluded under § __.3(d)(6)(ii)
Activity excluded under § __.3(d)(7)
Activity excluded under § __.3(d)(8)
Activity excluded under § __.3(d)(9)
Activity excluded under § __.3(d)(10)
Activity excluded under § __.3(d)(11)
Activity excluded under § __.3(d)(12)
Activity excluded under § __.3(d)(13)

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