Information 

Schedules Page 1 of 4

Firm Name(VVQM9017)

RSSD ID(VVQM9001)

Month End Date YYYYMMDD (VVQM 9999)

DRAFT
 Information Schedules Page 2 of 4

A separate Trading Desk Information Schedule must be submitted for each desk.

Trading Desk Information Schedule

1 2 3 4 5 6 7 8 9

Trading 

Desk 

Name

Trading 

Desk ID

Type of 

Trading 

Activity

Trading 

Desk 

Description

Legal Entity Trading Desk Uses Entity Type Identification

Currency 

Reported

Daily Trading Desk 

Information

Types of Financial Instruments/Trading Products

a.

Name 

of 

Legal 

Entity

b.

Main 

Booking 

Entity (1 

= Yes/0 = 

No)

c.

Type of 

Identifier 

(LEI, 

RSSD, 

etc.)

d.

Identifier 

Value

a. Name 

of Legal 

Enitity

b. Entity 

Type 

Identificat

ion

c. 

Descripti

on of 

Other 

Entity 

Type

a.

Date 

of 

Mth

b.

Trading 

Day 

Indicator

(1=Yes/0=N

o)

c.

Conver

sion 

Rate to 

USD

a.

Name of 

Financial 

Instrument

/Trading 

Product

b.

Main 

Financial 

Instrument

/Trading 

Product (1 

= Yes/0 = 

No)

c.

Market 

Maker

Inventory

(1 = Yes/0 

= No)

d.

Is trading 

product 

excluded 

from 

definition 

of 

financial 

instrumen

ts? (1 = 

Yes/0 = 

No)

e.

Is the 

exclude

d 

trading 

product 

reporte

d? (1 = 

Yes/0 = 

No)

VVQM

Y384

VVQ

M

Y383

VVQM

W890

VVQM

W891 VVQM

W900

VVQM

W911

VVQM

W912

VVQM

Y898

VVQM

FC43

VVQM

Y900

VVQM

Y901

VVQM

FC44

VVQM

FC45

VVQM

Y900

VVQM

Y897

VVQM

FC46

VVQM

Y385

VVQ

M

Y899

VVQM

Y380

VVQ

M

Y386

(1) (1) (1) (1) (1) (1) (1.a)

(1.b)

(1.a)

(1.b)

(1) (1.a)

(1.b)

(2) (2.a)

(2.b)

1

(2) (2) (2) (2) (2) (2) (2.a)

(2.b)

(2.a)

(2.b)

2

(3) (3) (3) (3) (3) (3) (3.a)

(3.b)

(3.a)

(3.b)

...

(4) (4) (4) (4) 31
 Information Schedules Page 3 of 4

Risk and Position Limits Information Schedule

1 2 3 4 5 6 7 8

Limit ID Limit Name Limit Description

Intraday

Or

End-of-day

[1=Intraday/0=Endof-day]

Unit of Measurement

Whether the Limit 

Measures Risk on a 

Net or Gross Basis

Category of Limit

(VaR, Position Limit, 

Sensitivity Limit, Stress 

Scenario, or Other)

Description of “Other” 

Category of Limit

VVQT

Y382

VVQM

W892

VVQM

W893

VVQM

Y925

VVQM

Y391

VVQM

W895

VVQM

W896

VVQM

W894

Risk Factor Sensitivities Information Schedule

1 2 3 4

Sensitivity ID Sensitivity Name Sensitivity Description Risk Factor Change Units

VVQT

T088

VVQM

Y392

VVQM

W897

VVQM

Y394
 Information Schedules Page 4 of 4

Risk Factor Attribution Information Schedule

1 2 3 4

Risk Factor Attribution 

ID Risk Factor Name Risk Factor Description Risk Factor Change Units

VVQT

T090

VVQM

W898

VVQM

W899

VVQT

Y394

Limit / Sensitivity Cross-Reference Schedule

1 2

Limit ID Sensitivity ID

VVQY

Y382

VVQY

T088

Risk Factor Sensitivity / Attribution Cross-Reference Schedule

1 2

Sensitivity ID Risk Factor Attribution ID

VVQX

T088

VVQX

T090
 Quantitative Measurements Daily Schedule Page 1 of 3

Item Metric Description

Risk Management Measurements

Part 1 - Risk and Position Limits and Usage

A separate Risk and Position Limits and Usage Part (i.e., Part 1.2, etc.) must be submitted for 

each limit.

VVQM Text

1 Limit ID............................................................................................................................ Y382

VVQM Amount

2.a Limit Size – Upper Limit.................................................................................................. FC41

2.b Limit Size – Lower Limit .......................................................................................................... FC42

3 Limit Usage ..................................................................................................................... Y390

Part 2 - Risk Factor Sensitivities

A separate Risk Factor Sensitives Part (i.e., Part 2.2, etc.) must be submitted for each risk 

factor.

VVQM Text

1 Sensitivity ID ................................................................................................................... T088

VVQM Amount

2 Change in Risk Factor...................................................................................................... Y393

3 Aggregate Change in Value Across All Positions ............................................................ Y395

Part 3 - Value-at-Risk (VaR) and Stressed VaR

1 VaR.................................................................................................................................. Y396

2 Stressed VaR................................................................................................................... Y397

Source-of-Revenue Measurements

Part 4. Comprehensive Profit and Loss Attribution 

Part 4.A - Comprehensive Profit and Loss Attribution Measurements

1 Comprehensive Profit and Loss...................................................................................... Y398

2 Profit and Loss Due to Existing Positions........................................................................ Y399

3 Profit and Loss Due to New Positions............................................................................. Y400

4 Residual Profit and Loss.................................................................................................. Y401

5 Profit and Loss Due to Changes in Risk Factors and Other Factors ............................... Y402

6 Profit and Loss Due to Actual Cash Flows....................................................................... Y403

Firm Name (VVQM9017)

RSSD ID (VVQM9001)

Month End Date YYYYMMDD 

(VVQM9999)

Trading Desk ID (VVQMY383)

Trading Date (VVQMY379)
 Quantitative Measurements Daily Schedule Page 2 of 3

Item Metric Description

7 Profit and Loss Due to Carry........................................................................................... Y404

8 Profit and Loss Due to Reserve or Valuation Adjustment Changes ............................... Y405

9 Profit and Loss Due to Trade Changes............................................................................ Y406

10 Other............................................................................................................................... Y407

Part 4.B - Comprehensive Profit and Loss Attribution Measurements by Risk Factor 

A separate Comprehensive Profit and Loss Attribution Measurements by Risk Factor Part (i.e., 

Part 4.B.2, etc.) must be submitted for each risk factor attribution.

VVQM Text

11 Risk Factor Attribution ID ............................................................................................... T090

VVQM Amount

12 Profit and Loss Due to Risk Factor Move........................................................................ Y414

Positions, Transaction Volumes, and Securities Inventory Aging Measurements

Part 5 – Positions

VVQM Amount

1 Market Value of All Long Securities Positions................................................................ W901

2 Market Value of All Short Securities Positions............................................................... W902

3 Market Value of All Derivatives Receivables.................................................................. Y904

4 Market Value of All Derivatives Payables....................................................................... Y905

5 Notional Value of All Derivatives Receivables...................................................................... Y902

6 Notional Value of All Derivatives Payables........................................................................... Y903

Part 6 - Transaction Volumes

1 Gross market value of all securities transactions conducted with customers1 ............. W905

VVQM Number

2 Number of all securities transactions conducted with customers................................. W906

VVQM Amount

3 Gross notional value of all derivatives transactions conducted with customers........... W903

VVQM Number

4 Number of all derivatives transactions conducted with customers .............................. W904

VVQM Amount

5 Gross market value of all securities transactions conducted with non-customers2 ...... W909

VVQM Number

6 Number of all securities transactions conducted with non-customers......................... W910

VVQM Amount

7 Gross notional value of all derivatives transactions conducted with non-customers... W907

VVQM Number

 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).
 Quantitative Measurements Daily Schedule Page 3 of 3

Item Metric Description

8 Number of all derivatives transactions conducted with non-customers....................... W908

VVQM Amount

9 Gross market value of all securities transactions where the transaction is booked in 

the same banking entity ................................................................................................. Y906

VVQM Number

10 Number of all securities transactions where the transaction is booked in the same 

banking entity................................................................................................................. Y907

VVQM Amount

11 Gross notional value of all derivatives transactions where the transaction is booked 

in the same banking entity ............................................................................................. Y908

VVQM Number

12 Number of all derivatives transactions where the transaction is booked in the same 

banking entity................................................................................................................. Y909

VVQM Amount

13 Gross market value of all securities transactions where the transaction is booked in

an affiliated banking entity............................................................................................. Y910

VVQM Number

14 Number of all securities transactions where the transaction is booked in an 

affiliated banking entity.................................................................................................. Y911

VVQM Amount

15 Gross notional value of all derivatives transactions where the transaction is booked 

in an affiliated banking entity......................................................................................... Y912

VVQM Number

16 Number of all derivatives transactions where the transaction is booked in an 

affiliated banking entity.................................................................................................. Y913

Part 7 - Securities Inventory Aging

Part 7.A - Security Asset-Age Profile

VVQM Amount

1 Market Value of Security Assets Held 0 through 30 Calendar Days............................... Y426

2 Market Value of Security Assets Held 31 through 60 Calendar Days............................. Y427

3 Market Value of Security Assets Held 61 through 90 Calendar Days............................. Y428

4 Market Value of Security Assets Held 91 through 180 Calendar Days........................... Y429

5 Market Value of Security Assets Held 181 through 360 Calendar Days......................... Y430

6 Market Value of Security Assets Held more than 360 Calendar Days............................ Y431

Part 7.B - Security Liability-Age Profile

7 Market Value of Security Liabilities Held 0 through 30 Calendar Days.......................... Y433

8 Market Value of Security Liabilities Held 31 through 60 Calendar Days........................ Y434

9 Market Value of Security Liabilities Held 61 through 90 Calendar Days........................ Y435

10 Market Value of Security Liabilities Held 91 through 180 Calendar Days...................... Y436

11 Market Value of Security Liabilities Held 181 through 360 Calendar Days.................... Y437

12 Market Value of Security Liabilities Held more than 360 Calendar Days....................... Y438