Ce diaporama a bien été signalé.
Nous utilisons votre profil LinkedIn et vos données d’activité pour vous proposer des publicités personnalisées et pertinentes. Vous pouvez changer vos préférences de publicités à tout moment.

Volcker Rule: Calibration to 2.0

In this new Accenture presentation we explore the impacts of amendments to the Volcker Rule (the Dodd-Frank Wall Street Reform and Consumer Protection Act).

Les commentaires sont fermés

  • Soyez le premier à commenter

  • Soyez le premier à aimer ceci

Volcker Rule: Calibration to 2.0

  1. 1. FEBRUARY 2020 Volcker Rule: Calibration to 2.0 Preliminary Impact Analysis
  2. 2. Copyright © 2020 Accenture. All rights reserved. TABLE OF CONTENTS 1.0 Context 1.1 Volcker Rule: Background and Evolution 1.2 Volcker Impact: Moderate and Significant Institutions 2.0 Volcker CapabilityModel 2.1 Volcker Impact Assessment: Moderate Institution 2.2 Volcker Impact Assessment: Significant Institution 3.0 Volcker Command Center 3.1 Our Perspective: Holistic Volcker Compliance Program 4.0 Recalibration Journey 4.1 Volcker Recalibration Model 4.2 Volcker Recalibration Framework 22Copyright © 2020 Accenture. All rights reserved.
  3. 3. Copyright © 2020 Accenture. All rights reserved.Copyright © 2020 Accenture. All rights reserved. 3 1.0 CONTEXT VOLCKER RULE BACKGROUND AND EVOLUTION
  4. 4. Copyright © 2020 Accenture. All rights reserved. 4 1.1 VOLCKER RULE: BACKGROUND AND EVOLUTION 4 Key ImpactThemes • Effective April 1st 2014, under the Dodd-Frank Wall Street Reform and Consumer Protection Act, the Volcker Rule prevented banks from engaging in short-term proprietary trading and limited investments and sponsorships with hedge funds or private equity funds • The Volcker Rule was intended to maintain the safety and soundness of the U.S. federal banking system • In August 2019, the five federal regulatory agencies published the revised rules in the Federal Register: • Under the revised rules, compliance requirements have been tiered based on trading activity. The revised rules also provide additional clarity around activities allowed under the law, while considering industry consultations and regulatory changes • The revised rules are effective January 1st, 2020 with a compliance date of January 1st, 2021 • Rules have been jointly developed by the Federal Reserve Board, the Commodity Futures Trading Commission, the Federal Deposit Insurance Corporation, the Office of the Comptroller of the Currency and the Securities Exchange Commission Background and Evolution Timelinefor Implementation January 1, 2021 Compliance date for the Revised Volcker Rule Effective date for the Revised Volcker Rule January 1, 2020 Final Volcker Rules published in the Federal Register August 20, 2019 Trading Activities • Expanded scope for exclusions including liquidity management instruments, correction of bona-fide trading errors, select customer-driven swaps, etc. • Expanded scope of hedging activities by reducing the need to demonstrate risk mitigation Trading Desk • Defined multi-factor desk per the Market Risk Capital Rule to streamline operational, management and global regulatory requirements Compliance Program • Established tiered compliance requirements based on trading activity • Reduced compliance program obligations Reporting Requirements • Developed metrics and controls for reporting under revised Volcker rule • Defined regulatory reporting format The VolckerRule amendments are designed to simplify the rule and streamline compliancerequirements,however,existing Volcker programsrequirerealignmentacrossfour key dimensionsto be compliantby January1st 2021 Sources:Agencies Finalize Elements ofVolcker 2.0 Volcker Rule: Version 2.0
  5. 5. Copyright © 2020 Accenture. All rights reserved. 1.2 VOLCKER IMPACT: MODERATE AND SIGNIFICANT INSTITUTIONS IMPACT AREAS Under Volcker2.0,Moderate Institutionshave to roll back or realign to new requirements,while SignificantInstitutionshave to realign and configure new requirements,includingmetric reporting 5 Low – Medium Impact POTENTIAL IMPACT: Roll back or realignment of Volcker Program Between $1–20 billion in gross trading assets MODERATE INSTITUTION • Realignment of scope of trading activities focused on definitions, rebuttable presumptions and exclusions • Enhancements to exemptions to simplify compliance requirement obligations for banking entities under this tier • CEO Attestation no longer mandatory • Required to implement a simplified program by incorporating Volcker Rule compliance into existing polices and procedures • Quarterly reporting of value at risk, internal limits and usage, comprehensive profit and loss attribution, positions and transaction volumes Proprietary Trading Activities Covered Funds • Removal of requirement of counting interests in third-party covered fundstoward 3% limit and capital deduction, allow ing covered fund interest as a hedge w hen acting as a intermediary on behalf of a customer, and SOTUS (solely outside of the United States) exemptions to provide significant relief from compliance obligations • Key elements of the covered funds to be addressed further in a new separate proposal Compliance Program Reporting and Record Keeping • Metrics reporting no longer applicable • Mandatory CEO Attestation • Required to implement fullsix-pillar compliance program • Prescriptive enhanced compliance requirements have been eliminated (Appendix B of the 2013 Rule) Medium – High Impact Over $20 billion in gross trading assets SIGNIFICANT INSTITUTION POTENTIAL IMPACT: Realignment / configuration of existing Volcker Program BENEFITS Reduction of Costs MODERATE INSTITUTION SIGNIFICANT INSTITUTION Operational Efficiency • Synergies betw een compliance programs and requirements to implement revised Volcker rule • Reduce costs such as third-party audits and reduced metrics reporting activities • Enhanced infrastructure through streamlined systems, reporting and compliance • Reduced metrics and reporting requirements and activities • No approvalprocess on Volcker panels / metrics • No CEO Attestation and sub-attestation processes • Simplified governance • Streamlined metrics and reporting • Command center and dashboard reporting for monitoring and analytics • Holistic compliance monitoring and compliance capabilities Sources:Agencies Finalize Elements ofVolcker 2.0 Volcker Rule: Version 2.0
  6. 6. Copyright © 2020 Accenture. All rights reserved.Copyright © 2020 Accenture. All rights reserved. 6 2.0 CAPABILITY MODEL OUR ASSESSMENT ON VOLCKER CAPABILITIES
  7. 7. Copyright © 2020 Accenture. All rights reserved. 3.0 Compliance Program Enhanced Minimum Standards for Compliance Program 2.1 VOLCKER IMPACT ASSESSMENT: MODERATE INSTITUTION Changes to compliance requirements for an institution previously classified asSignificant(under Volcker 1.0)transitioning to a Moderate Institution (under Volcker 2.0) 1.1 Proprietary Trading Restrictions Definitions Rebuttable Presumption and Response Exclusions Exceptions Underwriting MarketMaking Risk Mitigating Hedging Near Term Customer Demand Reduction of Risk Permitted Trading Government and Municipal Obligations Trading on Behalf of Customers Trading by a Regulated Insurance Company Other Permitted Proprietary Trading Activities Limitations on Permitted Trading Activities 1.2 Covered Fund Activities and Investments Prohibitionon Acquisitionor Retentionof OwnershipInterests in Certain Relationships with a Covered Fund Activities Permitted in Connection with Organizing and Offering a Covered Fund Permitted Investmentin a Covered Fund Other Permitted Covered Fund Activities Ownershipof Interests in and Sponsorship of Issuers of Certain CollateralizedDebt Obligation Backedby Trust- Preferred Securities (NEW) Limitations on Relationships with a Covered Fund Other Limitations on PermittedCovered Fund Activities Management Framework (N/A) Independent Testing and Audit (N/A) Internal Controls (N/A) Record Keeping (N/A) Training (N/A) 5.0 Business Capabilities CEO Attestation (N/A) 2.0 Trading Desk Requirements Products, Instruments and Exposures Compensation Risk and Exposure Limits Desk Reporting Process Execution Data Handling and Configuration Exception Handling Re-Runs Analytics and Drill Down Lineage and Traceability UserInterfaceandReporting A A R A G G G G G G G G G G A A A AA A AA R Policies and Procedures A Trading Activities of a Foreign BankingEntity G Legend: G Minor A Moderate R Significant Change New Requirement RemovedProduction Capabilities Not Mandatory 4.0 Reporting and Record Keeping Customer Facing ActivityRisk Management Risk Factor Sensitivities Source of Revenue Value at Risk (Prev. Value at Risk and Stress Value at Risk) Comprehensive Profitand Loss Attribution Internal Limits and Usage (Prev. Risk and Position) Supervisory / Regulatory ExaminationG 7 Monitoring / Surveillance Limit Management and Governance Qualified Independent Testing and Audit Positions (Prev. Inventory Aging) Transaction Volumes Customer Facing Trade Ratio Inventory Turnover
  8. 8. Copyright © 2020 Accenture. All rights reserved. 3.0 Compliance Program Enhanced Minimum Standards for Compliance Program 2.2 VOLCKER IMPACT ASSESSMENT: SIGNIFICANT INSTITUTION 1.1 Proprietary Trading Restrictions Definitions Rebuttable Presumption and Response Exclusions Exceptions Underwriting MarketMaking Risk Mitigating Hedging Near Term Customer Demand Reduction of Risk Permitted Trading Government and Municipal Obligations Trading on Behalf of Customers Trading by a Regulated Insurance Company Other Permitted Proprietary Trading Activities Limitations on Permitted Trading Activities 1.2 Covered Fund Activities and Investments Prohibitionon Acquisitionor Retentionof OwnershipInterests in Certain Relationships with a Covered Fund Activities Permitted in Connection with Organizing and Offering a Covered Fund Permitted Investmentin a Covered Fund Other Permitted Covered Fund Activities Ownershipof Interests in and Sponsorship of Issuers of Certain CollateralizedDebt Obligation Backedby Trust- Preferred Securities (NEW) Limitations on Relationships with a Covered Fund Other Limitations on PermittedCovered Fund Activities Policies and Procedures Management Framework Independent Testing and Audit Internal Controls Record Keeping Training 4.0 Reporting and Record Keeping 5.0 Business Capabilities Monitoring / Surveillance Limit Management and Governance CEO Attestation Qualified Independent Testing and Audit Supervisory / Regulatory Examination 2.0 Trading Desk Requirements Products, Instruments and Exposures Compensation Risk and Exposure Limits Desk Reporting Customer Facing ActivityRisk Management Risk Factor Sensitivities Source of Revenue Process Execution Data Handling and Configuration Exception Handling Re-Runs Analytics and Drill Down Lineage and Traceability UserInterfaceandReporting A A R A G G G G G G G G G G A A A AA A AA Value at Risk (Prev. Value at Risk and Stress Value at Risk) A Comprehensive Profit and Loss Attribution A A A A A A A A G G Trading Activities of a Foreign BankingEntity Internal Limits and Usage (Prev. Risk and Position) A G Legend: G Minor A Moderate R Significant Change New Requirement RemovedProduction Capabilities Not Mandatory 8 Positions (Prev. Inventory Aging) Transaction Volumes Customer Facing Trade Ratio Inventory Turnover R R Changes to compliance requirements for SignificantInstitutionsunderthe new Volcker 2.0 rules
  9. 9. Copyright © 2020 Accenture. All rights reserved.Copyright © 2020 Accenture. All rights reserved. 9 3.0 COMMAND CENTER OUR PERSPECTIVE ON HOLISTIC COMPLIANCE
  10. 10. Copyright © 2020 Accenture. All rights reserved. 1010 A Volcker Command Center can allow firms to streamline compliance with Volcker Rules and integrate functions across the enterprise to demonstrate holistic compliance 1. Permit Analytic Capabilities 2. Provide a Holistic Trading Desk View 3. Streamline Internal / External Reporting 4. Aggregate Compliance Program Artifacts 5. Proactively Identify and Manage Risks and Issues 3.1 OUR PERSPECTIVE: HOLISTIC VOLCKER COMPLIANCE PROGRAM (1 OF 2) Visual Mockup: This illustrative example is the dashboard version for a Significant Institution. Demo available upon request. Volcker Command Center CommandCentercan be leveragedto supportother regulatory initiatives e.g.,FundamentalReviewof the Trading Book (FRTB) Establishing a holistic VolckerComplianceprogram can streamlineoperationalrequirements,facilitate reportingrequirements,and demonstrate compliancewith rule requirements acrossenterprisefunctions
  11. 11. Copyright © 2020 Accenture. All rights reserved. 1111 3.1 OUR PERSPECTIVE: HOLISTIC VOLCKER COMPLIANCE PROGRAM (2 OF 2) Establishing a holistic VolckerComplianceprogram can streamlineoperationalrequirements,facilitate reportingrequirements,and demonstrate compliancewith rule requirements acrossenterprisefunctions The Volcker Command Center can provide a centralized solution to streamline and effectively manage / track Volcker Rule Compliance Requirements Let’s apply the Volcker Command Center to monitor and track compliance holistically! Dashboard Reporting Metrics (not mandatory per Volcker 2.0 but can be considered to enhance the compliance function) • Internal limits and usage controls and metrics aligned to marketrisk rules. • Qualitative commentaryto describe trading desk limitresults OUR APPROACH • Establish a flexible and customizable solution to manage compliance requirements using business intelligence tools • Leverage dashboards to deliver business capabilities across functions • Streamline operational and reporting requirements to align with the spirit of the rule Allow users across the firm (i.e. traders, compliance officers, CEO) to evaluate Volcker Rule alignment and deploy a holistic and integrated solution to monitor compliance OUR VALUE Dashboard Reporting Metrics (mandatory) • Internal limits and usage controls and metrics • Positions • Transaction volumes • VaR Moderate Institutions Dashboard and Reporting Low er Limits: Trading Desk X: • Less of low er limit by 2% due to trade error • Additional hedging strategy implemented • Low er trade volumes due to quarterly results release of Google Significant Institutions Dashboard and Reporting
  12. 12. Copyright © 2020 Accenture. All rights reserved.Copyright © 2020 Accenture. All rights reserved. 12 4.0 RECALIBRATION JOURNEY OUR DELIVERY FRAMEWORK FOR COMPLIANCE
  13. 13. Copyright © 2020 Accenture. All rights reserved. 1313 Volcker Capability Blueprint Maturity / Gap Assessment Delivery Prioritization Capability Driven Roadmap Requirement Traceability Target Operating Model Strategic Alignment Compliance Pillars Trading Desk System Enhancement Change Enablement Ongoing Monitoring Regulatory Management Governance Accenture Volcker Capability Model Governance and Controls Implementation Considerations Rule Interpretation Training Communication Behavioral Change Management Independent Testing Surveillance and Monitoring of Change Dashboard / Command Center Development Desk Classification Desk Limit Definition Desk Metric Reporting Desk Policies and Procedures Enhancement RENTD / Market Maker Inventory Measure (MMIM) Configuration Metric Reporting Configuration Control Reporting and Alerts Exception Handling and Error Management Exclusion / Outside the Trading Account (OTA) / TOTUS Monitoring Internal Limits / Risk Factor Attribution Compliance Policies and Procedures Manual (2nd line) Escalation and Limit Management Internal Control Framework Make sure there is alignment on degree of compliance and the suite capabilities required to put Volcker in production (e.g., alerts, escalation workflow) Strategic Alignment Establish a consistent and holistic approach across the enterprise with the ability to demonstrate compliance and traceability to the rule Compliance Pillars Implement a Trading Desk Command Center to monitor, measure and demonstrate compliance and provide a holistic view Trading Desk Configure / retire systems to align with revised rule requirements and consider additional capabilities that can facilitate compliance obligations System Enhancements Design an effective training program to realign with revised requirements and implement surveillance and monitoring tools to evaluate the degree of change Change Enablement Consider a proactive solution to monitor and measure compliance across limits and controls with effective workflow solution Governance and Controls 4.1 VOLCKER RECALIBRATION MODEL Rules of Engagement The Capability Modelbuilds the capabilities required for SignificantInstitutionsand can be adjusted for Moderate Institutions Stakeholder Attestation Internal Control Inventory Audit & Record Management Not Mandatory for Moderate Institutions
  14. 14. Copyright © 2020 Accenture. All rights reserved. Governance & Controls • Proactively monitor and measure compliance across limits and controls Strategic Alignment • Align on the degree of compliance • Define the capabilities required to allow Volcker Compliance Pillars • Establish a consistent and holistic approach • Demonstrate traceability to the rule Trading Desk • Implementa Trading Desk Command Center • Provide a holistic view of compliance activities System Enhancements • Reconfigure or retire systems based on revised rule • Consider additional capabilities Change Enablement • Realign employees through training program • Use monitoring tools to evaluate the change 4.2 VOLCKER RECALIBRATION FRAMEWORK 70-75% 75-80% Capability Blueprint CAPABILITY • Change Enablement • Enhanced Monitoring CAPABILITY MATURITY 15-20% Target Operating Model Governance & Controls Dashboard / Command Center Exception Handling Policies and Procedures Analytics Reporting Independent Testing Implementation Considerations Anticipated Outcomes Sample Deliverables Capability-Driven Plan for Accenture’s Volcker Delivery Framework Rule Interpretation Internal Control Framework • Identified gaps in key capabilities required to allow Volcker • Leveraged shiftin degree of compliance to allow firm’s strategic outcomes • Defined requirements for desk operations in compliance with Volcker • Alignmentof Command Center functionality with desk operations • Facilitate behavioral change managementto realign employees • Independenttesting to evaluate and monitor employee alignmentwith new requirements Capability Architecture Capabilities Activation Roadmap Target Operating Model Policies and Procedures Manual Requirements Document Internal Control Framework Desk Metric Reporting Desk Requirements Document Dashboard / Command Center Analytics, Reporting, and Data Requirements Document Change Impact Assessment Communications / Training Plan Behavior Change Framework Stakeholder Mapping Management Framework Internal Control Inventory • Developed limits and usage definitions • Revised escalation and response procedures • Streamlined operational and compliance metrics • Defined requirements for analytics and reporting • Built and developed dashboard thatmeets the capabilityrequirements • Configured metrics reporting • Establish governance requirements earlier in Compliance Pillars to promote effective ongoing monitoring of compliance in final stage of maturity Not Mandatory for Moderate Institutions The implementation roadmap buildsthe capabilities requiredfor SignificantInstitutions and can be adjustedfor ModerateInstitutions 14
  15. 15. Copyright © 2020 Accenture. All rights reserved. OUR TEAM AND CONTACTS To find out more Contact us https://www.linkedin.com/sho wcase/16183502 https://twitter.com/Acc entureFSRisk Hamish Wynn Managing Director,Accenture Finance & Risk, Regulatory Remediation& Compliance Transformation hamish.wynn@accenture.com Albert Janer Becerra Manager, Accenture Finance & Risk, Regulatory Remediation& Compliance Transformation albert.janer.becerra@accenture.com SamanthaRegan Managing Director,Accenture Finance & Risk, Regulatory Remediation& Compliance Transformation samantha.regan@accenture.com Usman Raj Senior Manager, Accenture Finance & Risk, Regulatory Remediation& Compliance Transformation usman.raj@accenture.com AccentureFinance& Risk: https://www.accenture.com/us-en/financial-services-finance-risk AccentureFinance& Risk Blogs: http://financeandriskblog.accenture.com/homepage/ 15 Authors Usman Raj Amandeep Chhina Contributors Gaurav Kapoor Albert Janer Becerra Andrey Kushnirsky Rosie Fan Authors References Debevoise & Plimpton – Volcker Rule: Version 2.0 https://www.debevoise.com/insights/publications/2019/08/v olcker-rule-version-2-final-rule-round-1 Cleary Gottlieb – Agencies Finalize Elements of Volcker 2.0 https://www.clearygottlieb.com/-/media/files/alert-memos- 2019/agencies-finalize-elements-of-volcker-20.pdf FDIC – Final Volcker Rule https://www.fdic.gov/news/board/2019/201 9-08-20-notice-dis-a-fr.pdf
  16. 16. Copyright © 2020 Accenture. All rights reserved.Copyright © 2020 Accenture. All rights reserved. VOLCKER RULE: CALIBRATION TO 2.0 PRELIMINARY IMPACT ANALYSIS About Accenture Accenture is a leading global professional services company, providing a broad range of services and solutions in strategy, consulting, digital, technology and operations. Combining unmatched experience and specialized skills across more than 40 industries and all business functions—underpinned by the world’s largest delivery network —Accenture works at the intersection of business and technology to help clients improve their performance and create sustainable value for their stakeholders. With more than 505,000 people serving clients in more than 120 countries, Accenture drives innovation to improve the way the world works and lives. Visit us at www.accenture.com Disclaimer This presentation is intended for general informational purposes only and does not take into account the reader’s specific circumstances, and may not reflect the most current developments. Accenture disclaims, to the fullest extent permitted by applicable law, any and all liability for the accuracy and completeness of the information in this presentation and for any acts or omissions made based on such information. Accenture does not provide legal, regulatory, audit, or tax advice. Readers are responsible for obtaining such advice from their own legal counsel or other licensed professionals.

×