Reporting Section 248.20(d)

Board of Governors of the Federal Reserve System

Instructions for the Preparation of

Regulation VV Quantitative Measurements
Reporting Form FR VV-1
Effective March 2021

INSTRUCTIONS FOR PREPARATION OF

Regulation VV Quantitative
Measurements
FR VV-1

General Instructions
Each banking entity directly supervised by the Federal
Reserve Board that is subject to the metrics reporting
requirement specified in 12 CFR § 248.20(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
Appendix A of the rule. These instructions provide
guidance for the preparation of the optional Narrative
Statement, the Trading Desk Information Schedule,
the Quantitative Measurements Identifying Information Schedules, and each applicable quantitative measurement.2 If a banking entity and one or more of its
affiliates are required to report quantitative measurements to the Federal Reserve Board pursuant to
12 CFR § 248.20(d), the banking entity and its affiliate(s) should prepare one combined submission to the
Federal Reserve Board that follows Appendix A, these
Instructions, the Technical Specifications Guidance,
and the XML Schema.

1. A trading desk is a unit of organization that purchases and sells
financial instruments for the trading account of the banking entity or
an affiliate thereof. Generally, a trading desk is the same unit of organization that is established for market risk capital calculations. See
12 CFR § 248.3(e)(14)(ii). “Covered trading activity” means trading
conducted by a trading desk under 12 CFR §§ 248.4, 248.5, 248.6(a), or
248.6(b). A banking entity may include in its covered trading activity
trading conducted under 12 CFR §§ 248.3(d), 2486(c), 2486(d), or
248.6(e). See Appendix A II. In addition, a banking entity may 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. 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
and may explain changes to this approach in its optional Narrative
Statement.
2. See Appendix A III.

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Who Must Report
Banking entities with significant trading assets and
liabilities as defined in 12 CFR § 248.2(ee) are required
to report metrics for each trading day on a quarterly
basis to the Federal Reserve Board3. The determination of whether a banking entity has significant trading assets and liabilities is made quarterly, based on
trading assets and liabilities measured as of the last day
of each of the four previous calendar quarters. The
metrics recordkeeping requirement applies for each
quarter when the average over the previous four quarters is above the threshold for significant trading assets
and liabilities. A banking entity that crosses above the
threshold must begin recording the metrics as of the
first day of the new quarter. For a banking entity that
crosses below the threshold, the requirement to report
metrics ceases for the new quarter, but the metrics collected for the past quarter must be reported according
to the section Frequency of Reporting below.4
Notwithstanding the preceding paragraph, pursuant
to 12 CFR § 248.20(d), the Federal Reserve Board may
notify a banking entity in writing that it must report on
a different basis.5 Additionally, Federal Reserve Board
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 Appendix A.6

Frequency of Reporting
Banking entities subject to the reporting requirement
must report these metrics within 30 days of the end of
each calendar quarter unless Federal Reserve Board
3. See 12 CFR § 248.2(ee); 12 CFR § 248.20(d).
4. See 12 CFR § 248.2(ee).
5. See 12 CFR § 248.20(d)(2).
6. See 12 CFR § 248.20(d)(1)(ii). See also 12 CFR § 248.20(g)-(i).

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General Instructions

notifies the banking entity in writing that it must
report on a different basis.7

Narrative Statement
The banking entity may submit in a separate electronic
document a Narrative Statement to the Federal
Reserve Board 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.8 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,
provide the following information for each trading
desk engaged in covered trading activities:9
1. Trading desk name. Provide the name of the
trading desk used internally by the banking
entity.
2. Trading desk identifier. Provide a unique character string to identify the trading desk. This
identifier should generally remain constant for
every quantitative measurements submission.10
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 exclu7. See 12 CFR § 248.20(d)(2).
8. See Appendix A III.d.
9. See Appendix A III.b.
10. 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.

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sions, 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 day11 for the desk.

11. 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.

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General Instructions

• 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.
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.

Quantitative Measurements Information
Schedules
With each submission of quantitative measurements,
provide an Internal Limits Information Schedule and a
Risk Factor Attribution Information Schedule.12 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
Internal limits are 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.13 Internal limits are often
expressed in terms of risk measures, such as Value-atRisk (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, provide
identifying and descriptive information for each limit
that is reported in the Internal Limits and Usage metric. Provide the following information:14
1. Limit ID. A character string to be used as the
permanent unique identifier for the limit. The
12. See Appendix A III.c.
13. See Appendix A IV.a.1.i.
14. See Appendix A III.c.1.

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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.
2. Limit name. The name of the limit.
3. Limit description. A description of the limit.
4. Unit of measurement. The unit in which the
limit is measured, e.g., basis points, USD, etc.
5. Type of limit. Identify which of the following
categories best describes the limit.
a.
b.
c.
d.
e.
f.

VaR
Position limit
Sensitivity limit
Stress scenario
Inventory aging
Other

6. If “Other” is chosen as a type of limit, provide a
brief description of this category
7. Source of limit. Identify which of the following
sources of analysis determines the limit.15
a. Risk Appetite
b. Regulatory Capital
c. Reasonably Expected Near Term Demand
(RENTD)
d. Risk Reducing or Risk Mitigating
e. Other
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 5) on sensitivities for which there is a corresponding profit and
loss attribution category for the same risk factor.

15. 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.

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General Instructions

Risk Factor Attribution Information Schedule
The banking entity must report the profit and loss
from existing positions 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.16
On the Risk Factor Attribution Information Schedule,
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:17
1. 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.
2. Risk factor name. The name of the risk factor or
other factor.
3. Risk factor description. A description of the
risk factor or other factor.
4. 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.18 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 optional Narrative Statement.
16. See Appendix A IV.b.1.i.
17. See Appendix A III.c.2.
18. See Appendix A IV.

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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 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.19

A. Risk-Management Measurements
Part 1. Internal Limits and Usage
Report the Internal Limits and Usage quantitative
measurement for all trading desks engaged in covered
trading activities.20
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, VaR, except to the extent the VaR 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.21
Multiple trading desks may have limits that are established using the same method and apply to quantities
19. 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.
20. See Appendix A IV.a.1.
21. See id.

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General Instructions

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.22 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.23 If the limit only applies a lower
bound constraint, then do not report an upper limit.
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.
22. See id.
23. 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.

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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)
Report the VaR quantitative measurement for all trading desks engaged in covered trading activities.24
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, based on current market
conditions.25 Use the sign convention of a positive
number for the value at risk of loss. Banking entities
should compute and report VaR consistently with
regulatory capital requirements for market risk.26 If a
trading desk does not have a standalone VaR calculation under regulatory capital requirements for market
risk, but is part of a larger aggregation of positions for
which a VaR calculation is performed, then 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.27

24. See Appendix A IV.a.2.
25. See id.
26. Computation of VaR is described under Section 205 of the Market Risk Rule
27. 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.

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General Instructions

B. Source-of-Revenue Measurements
Part 3. Comprehensive Profit and Loss
Attribution
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.28 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”).29
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 attributed, as applicable,
to (i) 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, (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, and (iii) other unattributed profit and
loss from existing positions.
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.30

Part 3.A: Comprehensive Profit and Loss
Attribution Measurements
For each trading desk, provide the following information for every trading day.31
28. See Appendix A IV.b.1.
29. These two categories are mutually exclusive. Profit and loss
should be attributed first to Profit and Loss Due to New Positions and
then to Profit and Loss Due to Existing Positions.
30. See id.
31. See id.

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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. Any fees, commissions, or other
payments received (paid) that are associated with
transactions executed on that day are added to (subtracted from) Profit and Loss Due to New Positions.
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 Due to Existing Positions are
uniquely attributed to Items 4 through 10 (i.e., do not
duplicate attributions in more than one item). The sum
of Items 4 through 10 must equal Item 2. Item 2 should
be sub-attributed first to Items 4 and 5, then to Items 6
through 9, and finally to Item 10.
Item 4 Profit and Loss Attributed to Changes in Risk
Factors
Report the profit and loss from existing positions due
to changes in the specific risk factors monitored and
managed as part of the trading desk’s overall risk management policies and procedures. The sum of Item 4
and Item 5 should equal the daily profit and loss produced by revaluing the positions held at the end of the
previous day using the market data at the end of the
current day.32
32. The sum of Items 4 and 5 is also known as hypothetical profit
and loss or clean profit and loss.

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Item 5 Other Attributable Profit and Loss
Report any portion of the daily profit and loss produced by revaluing the positions held at the end of the
previous day using the market data at the end of the
current day that is not specifically attributed to
changes in risk factors monitored and managed as part
of the trading desk’s overall risk management policies
and procedures.33
Item 6 Profit and Loss Due to Actual Cash Flows
Report the profit and loss due to actual cash flows, if
not included elsewhere.34
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 5.35
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. Note that Item 8 does not
include items otherwise included in Items 4 or 5.36
33. Report Item 5 such that the sum of Items 4 and 5 are consistent
with the banking entity’s implementation of hypothetical profit and
loss or clean profit and loss used for regulatory capital requirements for
market risk.
34. If the banking entity does not report profit and loss due to actual
cash flows in Item 6, the banking entity should state where it reports
profit and loss due to actual cash flows in its optional Narrative Statement.
35. Regulatory capital requirements for market risk may permit
profit and loss due to the passage of time to be included in hypothetical
profit and loss (i.e. if this is consistent with its treatment in the valuation used in a trading desk’s risk management procedures). Report any
profit and loss due to the passage of time that is included in hypothetical profit and loss in Item 4 or Item 5. If the banking entity does not
report profit and loss due to carry in Item 7, the banking entity should
state where it reports profit and loss due to carry in its optional Narrative Statement.
36. Under the regulatory capital requirements for market risk, hypothetical profit and loss generally excludes valuation adjustments, but
may include some valuation adjustments that are updated daily. Report
any profit and loss from valuation adjustments that is included in hypothetical profit and loss in Item 4 or Item 5. If the banking entity does
not report profit and loss due to reserve or valuation changes in Item 8,
the banking entity should state where it reports profit and loss due to
reserve or valuation changes in its optional Narrative Statement.

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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 Unattributed Profit and Loss
Report any other profit and loss on existing positions
that is not reported in items 4 through 9.

Part 3.B: Comprehensive Profit and Loss
Attribution Measurements by Risk Factor
Report the risk 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 profit and loss from existing positions.37
Each 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 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 change.
37. See id.

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General Instructions

C. Positions and Transaction Volumes
Each of the following quantitative measurements
requires a banking entity to determine the “value” of
an underwriting or market-making trading desk’s positions in applicable financial instruments.38

Part 4. Positions
Report the Positions quantitative measurement for
trading desks that rely on 12 CFR § 248.4(a) or
12 CFR § 248.4(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.39 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 12 CFR §§ 248.2(aa) and 248.2(h); instead,
report those securities that are also derivatives as
“derivatives.”40
For each applicable trading desk,41 provide the following information for every trading day.42
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
Report the Transaction Volumes quantitative measurement for trading desks that rely on 12 CFR
§ 248.4(a) or 12 CFR § 248.4(b) to conduct underwrit38. See Appendix A IV.c.
39. The reported values should be based on the trading desk’s endof-day positions for a given trading day.
40. See Appendix A IV.c.1; see also 12 CFR §§ 248.2(h), (aa). 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.
41. See Appendix A IV.c.1.iv.
42. See Appendix A IV.c.1.

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ing activity or market making-related activity, respectively.43
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) non-customers, excluding internal transactions; and (iii) trading desks and other organizational
units where the transaction is booked into either the
same banking entity or an affiliated banking entity
(internal transactions).
For a trading desk engaged in market making-related
activity, a counterparty is generally 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.44
However, a trading desk or other organizational unit of
another banking entity would not be a customer of the
trading desk engaged in market-making related activity
if the other entity has trading assets and liabilities of
$50 billion or more as measured in accordance with the
methodology described in 12 C.F.R. § 44.2(ee), unless
(i) there is documentation satisfying 12 C.F.R.
§ 44.4(b)(3)(i)(A) as to how and why a particular trading desk or other organizational unit of the other
entity should be treated as a customer, or (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.45
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.46
Material amendments to the economic terms of existing financial instrument contracts (other than corrections, cancellations, or exercises) are considered new
43. See Appendix A IV.c.2.
44. See 12 CFR § 248.4(b)(3); Appendix A IV.c.2.i.
45. See 12 CFR § 248.4(b)(3); Appendix A IV.c.2.i.
46. See 12 CFR § 248.4(a)(7); Appendix A IV.c.2.i.

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trades.47 Do not include in the Transaction Volumes
calculation for “securities” those “securities” that are
also “derivatives,” as those terms are defined under
12 CFR §§ 248.2(aa) and 248.2(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.48

Item 1 Gross market value of all securities transactions
conducted with customers

For each applicable trading desk,49 provide the following information for every trading day.50

Item 5 Gross market value of all securities transactions
conducted with non-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 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
47. 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.
48. 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.
49. See Appendix A IV.c.2.iv.
50. See Appendix A IV.c.2.

FR VV-1

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

GEN-9

March 2021

General Instructions

TABLE A. Type of Covered Trading Activity

Code

Type of Covered Trading Activity

UW

Underwriting activity exempted under 12 CFR § 248.4(a)

MM

Market making-related activity exempted under 12 CFR § 248.4(b)

Hedging

Risk-mitigating hedging activity exempted under 12 CFR § 248.5

US Gov

Trading in domestic government obligations exempted under 12 CFR § 248.6(a)

Foreign Gov

Trading in foreign government obligations exempted under 12 CFR § 248.6(b)

Fiduciary

Fiduciary transactions exempted under 12 CFR § 248.6(c)(1)

RP

Riskless principal transactions exempted under 12 CFR § 248.6(c)(2)

Insurance

Trading by an insurance company or its affiliate exempted under 12 CFR § 248.6(d)

TOTUS

Trading by a foreign banking entity exempted under 12 CFR § 248.6(e)

Repo

Activity excluded under 12 CFR § 248.3(d)(1)

Sec Lending

Activity excluded under 12 CFR § 248.3(d)(2)

Liquidity Mgmt

Activity excluded under 12 CFR § 248.3(d)(3)

DCO/CA

Activity excluded under 12 CFR § 248.3(d)(4)

Clearing Member

Activity excluded under 12 CFR § 248.3(d)(5)

Delivery

Activity excluded under 12 CFR § 248.3(d)(6)(i)

Judicial

Activity excluded under 12 CFR § 248.3(d)(6)(ii)

Agent

Activity excluded under 12 CFR § 248.3(d)(7)

Employee

Activity excluded under 12 CFR § 248.3(d)(8)

DPC

Activity excluded under 12 CFR § 248.3(d)(9)

Purchase Error

Activity excluded under 12 CFR § 248.3(d)(10)

Matched Swap

Activity excluded under 12 CFR § 248.3(d)(11)

MSR Hedge

Activity excluded under 12 CFR § 248.3(d)(12)

NTAL

Activity excluded under 12 CFR § 248.3(d)(13)

GEN-10

March 2021

FR VV-1