Under the spotlight
The final Volcker Rule
Calculating and reporting measures
The final(1) Volcker Rule was approved and released by the US regulators on December 10, 2013. The Volcker Rule (the Rule) imposes substantial requirements that will likely require significant effort to implement the quantitative measures outlined in the final Rule's Appendix A, and these issues may likely be especially significant for institutions engaged in a broad range of capital markets activities. Foreign banking organizations face further issues and complexities that may necessitate additional consideration and determination. “Agencies Issue Final Rules Implementing the Volcker Rule,” Federal Reserve news release, Dec. 10, 2013.
13 considerations for banking entities
What are the 13 considerations for banking entities to consider in implementing the quantitative measures outlined in the final Rule's Appendix A?
- Required quantitative measures
- Definition of trading assets and liabilities
- Other quantitative measurements
- Banking organizations below the $10 billion trading assets plus trading liabilities reporting threshold
- Treatment of excluded positions or activities
- Consistent measures of risk
- Differing calculation schedule and underlying data for risk and source of revenue measures
- Comprehensive profit and loss attribution
- Book structure and related control processes
- Valuation and independent price verification (IPV) processes
- Treatment of transactions.