6  Bank-affiliated primary dealers are already subject to mandatory consolidated supervision, but the focus of that supervision has been on limiting risks to the banks and other insured depository institutions within the holding company. Existing provisions may need to be modified to provide regulatory authority to assess and limit risks to all functionally regulated entities, including securities subsidiaries.
Models use historic data and rely heavily on supporting assumptions, including correlations between different reference entities. It is worth reminding ourselves that correlations may behave very differently during times of stress than under normal circumstances. Further, these are relatively young products, and the markets in which they trade often do not have deep liquidity. Thus, pricing information can be very volatile.