As simple as possible;
but no simpler

The Volcker metric known as inventory aging… and thoughts of Whisky

Inventory Aging is a rather innocuous looking member of the band of (now) seven metrics that, under the Volcker rule, banking entities with significant trading assets and liabilities are required to calculate daily and report monthly.

As written, the metric description seems straightforward enough:

Inventory Aging generally describes a schedule of the trading desk’s aggregate assets and liabilities and the amount of time that those assets and liabilities have been held. [It] should measure the age profile of the trading desk’s assets and liabilities and must include two schedules, an asset- aging schedule and a liability-aging schedule.

The graphic below broadly outlines the processes of asset/liability tagging, matching, sorting and netting of trades involved in generating an inventory aging schedule.

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Acuity Derivatives will be at TSAM New York 2014 – June 19th

Acuity Derivatives will be at TSAM New York 2014 in June.

Olu Oni, Managing Principal at Acuity, will be presenting at the Technology & Operational Strategy conference and will be a panelist at the OTC  Derivatives For Fund Management conference discussing SEF infrastructure.