The Volcker Rule mandates that banking entities cease proprietary trading, subject to certain exceptions for “permitted activities” including market making and risk-mitigating hedging. The proposed implementation of the rule includes recommendations for a framework of: seventeen (17) quantitative metrics to be calculated and analyzed daily, and reported to regulators, initially on a monthly basis (see list below); and a programmatic compliance regime for monitoring these.
This note provides an overview of the areas and technology platforms likely impacted implementing and monitoring such a metrics framework and the complexities such a framework will need to address.
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