FED Publishes Draft Form and Guidance for Reporting Under Volcker Rule
FED published draft the reporting form (FR VV-1) and instructions in connection with the Volcker rule amendments that were finalized in November 2019. FED also published the related technical specifications guidance 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. In addition, FED published a supporting statement for FR Y-9 reports.
For preparing quantitative measurements with respect to the form FR VV-1, 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 affiliates 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. The metrics must be reported within 30 days of the end of each calendar quarter, unless otherwise notified by the agency in writing. 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.
The supporting statement for FR Y-9 reports explains that FED adopted changes to the FR Y-9C in relation to a final rule that simplifies the capital framework of FED while preserving strong capital requirements for large firms. In connection with the final rule, FED modified the FR Y-9C for holding companies subject to the capital plan rule to collect information regarding a firm’s stress capital buffer requirement, global systemically important bank (G-SIB) surcharge, countercyclical capital buffer amount, as applicable, and any applicable distribution limitations under the regulatory capital rule. The revisions will become effective for the December 31, 2020 report date.
Related Links
- Reporting Form FR VV-1 (PDF)
- Reporting Instructions for FR VV-1 (PDF)
- Technical Specifications Guidance (PDF)
- Supporting Statement for FR Y-9 Reports
- Reporting Form Updates
Keywords: Americas, US, Banking, Securities, Volcker Rule, Dodd-Frank Act, Reporting, FR VV-1, Regulation VV, Market Risk, FR Y-9C, Regulatory Capital, Capital Buffer, Basel, FED
Featured Experts
María Cañamero
Skilled market researcher; growth strategist; successful go-to-market campaign developer
Nicolas Degruson
Works with financial institutions, regulatory experts, business analysts, product managers, and software engineers to drive regulatory solutions across the globe.
Patrycja Oleksza
Applies proficiency and knowledge to regulatory capital and reporting analysis and coordinates business and product strategies in the banking technology area
Previous Article
FDIC Rule to Mitigate Effects of Participation in Liquidity ProgramsRelated Articles
BIS Report Notes Existing Gaps in Climate Risk Data at Central Banks
A Consultative Group on Risk Management (CGRM) at the Bank for International Settlements (BIS) published a report that examines incorporation of climate risks into the international reserve management framework.
EBA Publishes Multiple Regulatory Updates for Regulated Entities
The European Banking Authority (EBA) published the final guidelines on liquidity requirements exemption for investment firms, updated version of its 5.2 filing rules document for supervisory reporting, and Single Rulebook Question and Answer (Q&A) updates in July 2022.
APRA Consults on Prudential Standard for Operational Risk
The Australian Prudential Regulation Authority (APRA) is seeking comments, until October 21, 2022, on the introduction of CPS 230, which is the new cross-industry prudential standard on operational risk management.
EC Amends Rule on Securitizations; ESRB Updates Reciprocation Measures
The European Commission published a Delegated Regulation 2022/1301 on the information to be provided in accordance with the simple, transparent, and standardized (STS) notification requirements for on-balance-sheet synthetic securitizations.
APRA Announces Revisions to Capital Framework for Banks
The Australian Prudential Regulation Authority (APRA) is announced revisions to the capital framework for authorized deposit-taking institutions to implement the "unquestionably strong" capital ratios and the Basel III reforms.
EBA Examines Remuneration Data and Use of Large Exposure Exemptions
The European Banking Authority (EBA) published a report that examines the use of certain exemptions included in the large exposures regime under the Capital Requirements Regulation (CRR).
UK Authorities Publish Discussion Paper on Critical Third Parties
The Bank of England (BoE), the Prudential Regulation Authority (PRA), and the Financial Conduct Authority (FCA) published a joint discussion paper that sets out potential measures to oversee and strengthen the resilience of services provided by critical third parties to the financial sector in UK.
BoE Issues Update on Ongoing Data Transformation Program
The Bank of England (BoE) issued a communication to firms to provide an update on the progress of the joint data transformation program—which is being led by BoE, the Financial Conduct Authority (FCA), and the industry—for the financial sector in UK.
EBA Issues Draft Methodology and Templates for 2023 Stress Tests
The European Banking Authority (EBA) published the draft methodology, templates, and template guidance for the European Union-wide stress test in 2023.
EBA Issues SREP Guidelines and Standards for Investment Firms
The European Banking Authority (EBA) and the European Securities and Markets Authority (ESMA) jointly published the final guidelines on common procedures and methodologies for the supervisory review and evaluation process (SREP) for investment firms.
