Article 17 (Article 11(14)(b) of Regulation (EU) No 648/2012)Criteria for using marking-to-model

For using marking-to-model, financial and non-financial counterparties shall have a model that:

1. (a)

   incorporates all factors that counterparties would consider in setting a price, including using as much as possible marking-to-market information;

2. (b)

   is consistent with accepted economic methodologies for pricing financial instruments;

3. (c)

   is calibrated and tested for validity using prices from any observable current market transactions in the same financial instrument or based on any available observable market data;

4. (d)

   is validated and monitored independently, by another division than the division taking the risk;

5. (e)

   is duly documented and approved by the board of directors as frequently as necessary, following any material change and at least annually. This approval may be delegated to a committee.