The Volcker Rule: Ensure Your Bank is Compliant

• Overview

The Volcker Rule compliance deadline is approaching - find out what changes your bank needs to make to be compliant with the final Volcker Rule.

The Volcker Rule now requires financial, legal and IT professionals to get to work. What are the key challenges and how are the prudential regulators demonstrating their expectations? Frank A. Mayer will discuss the significant and latest issues surrounding the final rules of the Volker Rule. This is a must purchase for anyone interested in understanding the significant issues relating to implantation and compliance with the final Volcker Rule.

Authors

Agenda

General Overview and Summary of the Volcker Rule

Impacted Business Lines and Products

• Impact to Specific Business Lines and Products

• Which Products and Investments Are Likely to Change

Recordkeeping Systems and Maintenance

• Value-At-Risk and Stress VaR

• VaR Exceedance

• Risk Factor Sensitivities

• Risk and Position Limits

• Comprehensive Profit and Loss

• Portfolio Profit and Loss

• Fee Income and Expense

• Spread Profit and Loss

• Comprehensive Profit and Loss Attribution

• Pay-To-Receive Spread Ratio

• Unprofitable Trading Days Based on Comprehensive Profit and Loss and Unprofitable Trading Days Based on Portfolio Profit and Loss

• Skewness of Portfolio Profit and Loss and Kurtosis of Portfolio Profit and Loss

• Volatility of Comprehensive Profit and Loss and Volatility of Portfolio Profit and Loss

• Comprehensive Profit and Loss to Volatility Ratio and Portfolio Profit and Loss to Volatility Ratio

• Inventory Risk Turnover

• Inventory Aging

• Customer-Facing Trade Ratio

Conformance Process

• Identify Business Strategy Change

• Underwriting and Market Making Exemptions

• Compliance and Auditing Requirements

• Updating Compliance Manuals

• Evaluate Data Collection and Monitoring Requirement and Required Enhancements

• Hedging Compliance

Role of Supervisors and Examiners

• Discuss the Role of the Different Regulators in Enforcing and Monitoring Volcker Rule Compliance