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In this act Article 17 of 23

Article 17 — (Article 11(14)(b) of Regulation (EU) No 648/2012)

Financial servicesLevel 2RTSEMIRIn forceOfficial source

Criteria for using marking-to-model

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

17(a)
(a)incorporates all factors that counterparties would consider in setting a price, including using as much as possible marking-to-market information;
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17(b)
(b)is consistent with accepted economic methodologies for pricing financial instruments;
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17(c)
(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;
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17(d)
(d)is validated and monitored independently, by another division than the division taking the risk;
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17(e)
(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.
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