FED updated the draft reporting form (FR VV-1) and instructions in connection with the Volcker rule amendments that were finalized in November 2019. FED has also published the related technical guidance, by the relevant US Agencies, for preparing and submitting the quantitative measurements. Each banking entity that meets the relevant thresholds must furnish quantitative measurements, as applicable, for each of its trading desks engaged in covered trading activity. The instructions for preparing and submitting quantitative measurement information provide guidance for the submission of the Narrative Statement, the trading desk information schedule, the quantitative measurements information schedules, and each applicable quantitative measurement to the agency.
If a banking entity and one or more of its affiliates are required to report quantitative measurements to the agency, the banking entity and its affiliate(s) should prepare one combined submission to the agency that follows the instructions, the technical specifications guidance, and the XML schema. Banking entities with significant trading assets and liabilities are required to report metrics for each trading day of the month on a quarterly basis to the agency. If a banking entity reports metrics and subsequently determines that it no longer has significant total 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.
Banking entities subject to the reporting requirement should collect metrics for each calendar month and report these metrics within 30 days of the end of each calendar quarter, unless the agency notifies the banking entity in writing that it must report on a different basis. 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.
- Reporting Form FR VV-1 (PDF)
- Reporting Instructions for FR VV-1 (PDF)
- Technical Specifications Guidance (PDF)
- Reporting Form Updates
Keywords: Americas, US, Banking, Securities, Volcker Rule, Dodd Frank Act, Reporting, FR VV-1, Regulation VV, Market Risk, FED
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