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## Welcome

## Markets Valuation Risk Procedures

Welcome to Markets Valuation Risk Procedures.

This course provides an overview of how Trading staff must ensure consistent valuations of financial instruments, and the responsibilities and actions required by the Markets Valuation Risk Procedures.

If you are accessing the course from a personal device directly over the Internet (outside of the Citi network), some links may not work if they link to content within Citi’s network. This will not impact your ability to complete the course.

Scroll down to continue.

## Course Navigation Tips

The Home button at the end of each topic takes you to the Home page.

The Menu button provides access to the individual topics.

The Resource button provides a list of useful links.

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The Close button ends your training session and closes the course window.

## Introduction

After completing this course, you will be able to:

- Describe the components that ensure consistent valuations of financial instruments
- Recognize responsibilities and actions required by the Markets Valuation Risk Procedures
- Identify the actions Risk Taking Desks (RTDs) are required to complete

This training will take approximately 15 minutes to complete.

The course is divided into 8 topics and an end-of-course assessment. After completing the training content, you must score 80% or higher in the assessment to receive credit for this course.

## Test-Out Overview

Are you already familiar with Markets Valuation Risk Procedures?

If so, this training includes a Test-Out, which if you pass, allows you to bypass the content and final assessment and receive credit for completion.

To take the Test-Out, select the Take the Test-Out button.

If you prefer to skip the Test-Out and go straight to the content, select the Start the Course button.

## Valuation Methodologies

## Valuation Methodologies: Inventory Valuations

Risk Taking Desks (RTDs) have key roles and responsibilities they must adhere to when working on Inventory Valuations and should document the methodology they use to value positions with material valuation uncertainty.

Let’s begin with an overview of their roles and responsibilities.

To proceed, select each responsibility to review the required tasks.

Ensure Fair Value estimates are appropriate

### Ensure Fair Value estimates are appropriate

RTDs must ensure that Fair Value estimates are appropriate for in-scope positions on a daily basis.

If there are financial instruments or inputs that cannot be updated daily, they should notify the relevant Controllers during the monthly Business Valuation Control Meetings.

Propose challenges to consensus data

### Propose challenges to consensus data

RTDs must propose challenges to consensus data where appropriate.

When requested by the Valuation Control Group (VCG), they should provide responses to these consensus challenges.

Inform relevant parties

### Inform relevant parties

Relevant Controllers and Independent Risk Managers must be informed of positions or instruments that will be automatically marked using an external pricing data source as opposed to an internally derived price.

Ensure pricing consistency

### Ensure pricing consistency

RTDs need to ensure that consistent prices for the same financial instrument or valuation model input are used.

Note: Valuation differences due to different measurement times do not represent an inconsistency.

Document Primary Model usage information

### Document Primary Model usage information

RTDs should use standardized templates to document information in Valuation Risk Documents (VRDs) related to the use of Primary Models for determining the value of traded products.

More information on this process will appear later in the course.

Ensure prices used are compliant

### Ensure prices used are compliant

RTDs should ensure prices used for Fair Valuation measurement comply with the PPV Policy, since an unchanged price could indicate it hasn’t been correctly updated to be in line with market levels as outlined by Unchanged Pricing Procedures.

More information on this process will appear later in the course.

## Valuation Methodologies: Document Uncertainties

For positions where market data is insufficient or too dispersed to precisely determine the exit value in today’s market, RTDs should populate the Valuation Uncertainty Document template. Contact VCG if you need assistance.

RTDs should also inform VCG of any changes to valuation methodologies used for these positions, who store all required documentation (such as templates).

## Derivative Discounting and XVA Valuation Consistency

RTDs must adhere to the Citi standard discounting and XVA methodologies defined in the XVA Methodology documents.

How?

- Consult with the relevant product XVA Trading desk regarding any discounting or XVA methodologies that are inconsistent with the Citi XVA Methodology.
- Notify the XVA Methodology document contacts about the inconsistent methodologies.

Key Discounting Methodology Elements

Secured OTCs

The index used to discount derivatives secured by the Credit Support Annex (CSA) must consider the details of the CSA and the booking legal entity of the trade.

Unsecured OTCs

The discount index for unsecured OTCs, and where Citi cannot reuse customer-posted collateral, must be consistent with the Centralized Funding Methodology for the booking legal entity of the trade.

## Key XVA Methodologies

XVA is the term used to encompass valuation adjustments applied to derivative trades to account for factors such as credit risk and funding costs.

Let’s take a closer look at some key XVA Methodologies.

To proceed, select each methodology for more information.

Credit Valuation Adjustment (CVA)
Funding Valuation Adjustment (FVA)
Collateral Valuation Adjustment (ColVA)

### Credit Valuation Adjustment (CVA)

CVA includes two components:

Counterparty Credit Risk is defined as the difference between the portfolio value without counterparty default risk and the portfolio value with counterparty default risk taken into account.

Citi’s Own Credit Risk is defined as the difference between the portfolio value without Citi's own default risk and the portfolio value with Citi's own default risk taken into account.

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### Funding Valuation Adjustment (FVA)

FVA represents an adjustment to the baseline valuation, which reflects the additional funding costs associated with the unsecured components of OTC derivative transactions and where Citi cannot reuse customer-posted collateral.

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### Collateral Valuation Adjustment (ColVA)

CoIVA is applied to collateralized (secured) OTC derivatives that capture more advanced considerations of CSAs that are not captured in the trading book discounting approach, such as cash vs securities collateral, partially collateralized trades, floored cash interest, asymmetrical posting, or other such bespoke features.

For further information, please refer to the XVA Methodology Document and the CVA Methodology Document.

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## Coming Next

Valuation Methodologies are integral elements that RTDs must document when valuing positions that have material valuation uncertainty.

When seeking pre-trade approval for positions that deviate from normal booking standards, RTDs must submit an approval request via the METRO workflow tool. These are called Trade Booking Exceptions. Pre-trade approval requests must be submitted for approval via the METRO workflow tool and are subject to re-review on at least an annual basis.

Let’s take a closer look at these Trade Booking Exceptions next.

## Trade Booking Exceptions

RTDs must ensure pre-approval requests for Trade Booking Exceptions are authorized on their Permitted Product List (PPL) before executing these transactions. The product must be accurately listed on the PPL as the original traded product, with the booking type specified.

Each Trade Booking Exception must be flagged with the associated Pre-Trade Approval ID in the relevant Trade Capture System (TCS) by the RTD. Trades that are booked in the relevant TCS will feed directly to the central data warehouse (Olympus) from which monthly inventories are autogenerated for all stakeholders to use and for monthly inventory attestations by the Volker Desk Head. Traders must update Pre-trade Approvals if there are any changes to the key information required. At least annually, Pre-Trade Approvals (PTA) in Metro are required to undergo reviews by RTD.

To learn more about the types of Trade Booking Exceptions, please refer to the Trade Booking Exceptions sections of the Pricing and Price Verification Policy and the Markets Valuation Risk Procedures.

To proceed, select each specification to learn about these booking types.

ALT-I

Approximately Loaded Trade: Indicative (Not Fully Modeled)

These are trade bookings that do not model all of the economics of the deal. A Valuation Adjustment may be required to correct the valuation impact of the approximation.

Example: An interest rate swap that is contingent upon the execution of a merger, if the contingent event is not modeled.

ALT-S

Approximately Loaded Trade with Substitutes (Fully Modeled)

These are transactions that are fully booked, but the valuation uses substitute inputs that differ from the terms in the contract. Using substitute inputs results in exposures that are not clearly identified in risk measurement and reporting.

Example: Structured Repo modeled using London Interbank Offered Rate (LIBOR) volatilities instead of repurchase (Repo) volatilities. If the Vega is not reported as Repo Vega, the deal will be classified as ALT.

RMT

Risk Modified Trade

These are trades that are adjusted for risk management and valuation purposes. RMTs can be categorized as Parametric RMTs (using model-driven shift) or Non-Parametric RMTs (using the Back-to-Back Booking model). RMTs should be parametrized in the model where possible and these parametric RMTs are exempt from pre-trade approval requirements.

Example: A barrier option or digital option where the barrier has been shifted.

MLT

Modular Loaded Trade

These are trades that are fully modeled as an aggregation of simpler deals. MLT valuations and notional may be incorrectly grossed up. Downstream adjustments by Product Control may be required to correct the valuations and notional gross ups.

Example: FX Swap where the near and far legs are booked as two separate deals.

## Coming Next

RTDs that have ensured authorization and approval for their pre-approval requests for Trade Booking Exceptions can execute these transactions.

Next, we will examine Model Risk and the actions RTDs must carry out when linking products to models.

## Model Risk

## Unapproved Models

What and why?

The Unapproved Models control detects and alerts in UNO any instances of unapproved models used for inventory valuation purposes.

This control addresses the Model Risk Management (MRM) Policy requirement to ensure models in use have undergone appropriate validation and approval processes.

The use of unapproved valuation models could result in trades being mispriced, leading to a potentially inaccurate valuation of the trade population in the Financial Statements.

## Unapproved Models: Remediate Breaks

RTDs, such as the Firm Account Owner, should determine a plan and take action to remediate any genuine Unapproved Model breaks in UNO.

The Firm Account Owner's supervisor should approve/reject the remediation action(s) in UNO.

Types of Unapproved Model Breaks:

- Model Validation Outcome: Any Model ID found to have "Model Validation Status" not among "[APPROVED]", "[POLICY DISPENSATION]".

Example: "[NOT APPROVED] Not validated yet".

- Model Usage Status: Any Model ID found to have a "Model Usage Status" not equal to "Active" is deemed a break.

Example: "Retired".

If you have any questions, please contact *MKTS GLOBAL Model Risk.

## Product Market Model

What and why?

The Product Market Model (PMM) control framework facilitates the linking of products to models, introduces market scope permissions, as well as detecting and alerting PMM breaches in UNO.

This control addresses the PMM Standards requirement to adhere to permissible PMM combinations, and the Model Risk Management (MRM) Policy requirement to use models in line with their approved usages.

The use of unpermitted PMM combinations could result in trades being mispriced.

## Product Market Model: Remediate Breaks/Breaches

RTDs should execute transactions using models in line with permitted PMM combinations and submit change requests through PMM workflows when required.

Firm Account owners should determine a plan and take action to remediate Primary Model and Market Scope breaches in UNO.

The Firm Account owners’ supervisor should approve/reject the remediation action(s) in UNO.

If you have any questions on any of the breaks/breaches reviewed here, please contact *MKTS GLOBAL PMM.

To proceed, select each type to review types of PMM breaks/breaches.

Primary Model (PMM Breach)

Primary Model (PMM Breach)

The PMM System will look at product ID and model ID(s) stamped on trade and compare them against permissible Primary Models for Master Products.

Model Dependency (PMM Break)

Model Dependency (PMM Break)

The model string stamped on trade is reconciled with permissible model combinations (derived from the model interconnectivity logic housed in Model Risk Management System (iMRMS)).

Market Scope (PMM Breach)

Market Scope (PMM Breach)

1. Max Tenor: System will derive tenor using trade maturity and close of business (COB) date and compare that with tenor permission for this Master Product. 2. Currency Pair: Currency pair permissions apply to a limited number of multi-factor FX products.

## Valuation Risk Documents

What and why?

Valuation Risk Documents (VRDs) collate information relating to model use, limitations, and compensating controls from the iMRMS, Permitted Products List (PPL), as well as additional information provided by the model sponsor.

The purpose of VRDs is to ensure appropriate model use and for effective execution of 1st and 2nd line controls over the use of product models for valuation purposes.

To proceed, select each question to learn more.

What do model sponsors need to do?

### What do model sponsors need to do?

Model sponsors must:

- Create VRDs for all in-scope product valuation models before they are marked as active in iMRMS
- Update VRDs with changes to the incremental model use information not contained in iMRMS/PPL
- Review and approve VRDs annually to confirm accuracy and completeness

How do you access VRDs?

### How do you access VRDs?

There is a dedicated Valuation Risk Document Tool (VRDT) accessible through Citi Risk & Controls where VRDs are prepared and stored.

If you have any questions, please contact *MKTS GLOBAL VRD Users.

## Coming Next

As we now know, RTDs must execute transactions using models in line with permitted PMM combinations and submit change requests through PMM workflows when required.

Let’s explore the controls RTDs must use when unchanged pricing is noted next.

## Unchanged Pricing Controls

## Unchanged Pricing Reviews

RTDs must identify, monitor, and escalate unchanged valuation inputs. The requirements cover both manually marked and externally sourced inputs.

These requirements do not apply to:

- Valuation inputs subject to daily control to ensure reasonableness versus alternative market data sources.
- Valuation inputs consistent with prices distributed widely to clients or counterparties.

## Unchanged Pricing Reviews: Review and Update

RTDs are expected to complete the following actions:

- Review reports of unchanged inputs and determine whether any prices are stale. Stale prices should be updated and escalated as required.
- Review and update thresholds and filters if market conditions change and when requested by Business Managers, or otherwise annually.

## Coming Next

RTDs that complete unchanged pricing control reviews ensure available market information is reflected. The next stage of the process is for RTDs to oversee the quality and hierarchy of selected vendors, or the collateral valuations of products for which they are the primary market makers.

Let’s take a closer look at collateral and client valuations next.

## Collateral and Client Valuations

## Collateral Valuations

RTDs are responsible for overseeing collateral valuations of products for which they are the primary market makers. Where external pricing vendors are used, the desk must evaluate the quality and hierarchy of the vendors selected.

What actions do RTDs need to complete?

- Review pricing vendor hierarchies received from VRT.
- Assess the quality of the vendors and determine the appropriate hierarchy to use for collateral valuations.
- Provide prices for collateral securities if reliable vendor pricing is not available.

## Client Valuations

The RTD ensures that client valuations are consistent with inventory valuations for all relevant model valuation adjustments and where manually distributed, the appropriate Legal-approved disclaimer is included. The RTD will review and confirm valuation adjustments should be included in client valuation where required.

To proceed, select each question to learn more.

What do traders need to do?

### What do traders need to do?

Distribution of client valuations should be automated through the “Citi Valuations Direct” and “Customer Valuation Pricing System” applications where needed.

Any valuations that need manual intervention must be handled by the Valuation Support team
(*CIB US NA Citi Valuations or *CIB UK EMEA Valuations).

Valuation support will ensure that disclaimers and record retention requirements are adhered to.

What do client valuations capture?

### What do client valuations capture?

Client valuations do not include the pre-trade provision prices to clients as part of the trading process. Derivative valuations must be consistent with Citi's mid-market valuation in books and records.

Non-derivative valuations typically reflect bid valuation unless indicated otherwise.

For more information, please refer to the
Global Collateral, Client Valuation, and Fair Value Disclosures Standard.

## Coming Next

RTDs must ensure client valuations are consistent with Citi’s inventory valuations and methodologies. Following this, RTDs can escalate requests for Dispensations and Waivers to the Valuation Risk Procedures to the VRC for approval.

Let’s move to the next topic to find out more.

## Governance and Reporting

## Valuation Risk Council (VRC)

Requests for Dispensations and Waivers to the Valuation Risk Procedures must be escalated to the VRC for approval. Contact (*MKTS GLOBAL Valuation Risk) to facilitate any requests.

The VRC is accountable for ensuring consistent valuations of financial instruments applicable to Markets and reports to the Markets Business Risk and Control Committee (BRCC).

VRC Membership:

- Co-chair: Head of MQA
- Co-chair: Head of Price Risk
- Secretary: Price Risk
- Head of Markets XVA and FVA
- Markets Trading Risk & Control
- Valuation Control Group
- Model Risk Management
- Market Risk Management
- In Business Risk/CAO

## Coming Next

Up next, there’s a summary of key takeaways from this training.

## Key Takeaways

Here’s a recap of the key actions required by RTDs to ensure compliance with the Markets Valuation Risk Procedure:

- RTDs should ensure that Fair Value estimates are appropriate for in-scope positions on a daily basis.
- Ensure that consistent prices for the same financial instrument or valuation model input are used across RTDs. Valuation differences that are due to different measurement times do not represent an inconsistency.
- Document Valuation Methodologies when valuing positions that have material valuation uncertainty.
- Obtain pre-trade approval for all ALT, MLT, and non-parametric RMT transactions.
- Execute transactions using models in line with permitted PMM combinations as outlined in the PMM Standard. Complete unchanged pricing control reviews to ensure available market information is reflected.

## Coming Next

Now it’s time to check your understanding of the content by completing a short assessment.

## Welcome to the Assessment

## Assessment Instructions

Welcome to the Final Assessment. The following 10 questions give you the opportunity to demonstrate how well you understand what you have learned.

To pass the assessment and receive credit for this course, you must achieve a minimum of 80%.

Once you begin the assessment, you must complete all questions to register a score. If you exit before completing all assessment questions, you will need to restart the assessment.

Scroll down to continue.

##

What is the scope of the Valuation Risk Procedures?

Select the best response from the five options and then select Submit.

Inventory Valuations
Inventory Valuations
Client Valuations
Client Valuations
Collateral Valuations
Collateral Valuations
All of the above
All of the above
None of the above
None of the above
Submit

The Valuation Risk Procedures are required across all three aspects of valuations.

That answer is not correct.

Refer to Valuation Methodologies & Collateral and Client Valuations for more information.

That answer is not correct.

Refer to Valuation Methodologies & Collateral and Client Valuations for more information.

That answer is not correct.

Refer to Valuation Methodologies & Collateral and Client Valuations for more information.

That answer is correct.

The Valuation Risk Procedures are required across all three aspects of valuations.

That answer is not correct.

Refer to Valuation Methodologies & Collateral and Client Valuations for more information.

##

Who is responsible for overseeing the valuation of a security held as collateral?

Select the best response from the four options and then select Submit.

The desk that traded the collateralized deal
The desk that traded the collateralized deal
Collateral Operations
Collateral Operations
The market making desk for that security type
The market making desk for that security type
The Markets Valuation Risk Team
The Markets Valuation Risk Team
Submit

Market making desks are responsible for overseeing collateral valuations for the products in their Permitted Products Lists (PPL).

That answer is not correct.

Refer to Valuation Methodologies & Collateral and Client Valuations for more information.

That answer is not correct.

Refer to Valuation Methodologies & Collateral and Client Valuations for more information.

That answer is correct.

Market making desks are responsible for overseeing collateral valuations for the products in their Permitted Products Lists (PPL).

That answer is not correct.

Refer to Valuation Methodologies & Collateral and Client Valuations for more information.

##

Does the following transaction need to be included in the “Trade Booking Exception” inventory?

Trade bookings that do not reflect all of the economics of the deal but are booked on a model that has been approved.

Select the best response from the four options and then select Submit.

Yes, as an Approximately Loaded Trade
Yes, as an Approximately Loaded Trade
Yes, as a Risk Modified Trade
Yes, as a Risk Modified Trade
Yes, as a Modular Loaded Trade
Yes, as a Modular Loaded Trade
No, this should not be included
No, this should not be included
Submit

Approximately Loaded Trades (ALT) are transactions for which the Risk Taking Desk is unable to capture relevant trade economics using Citi's approved models. These products are booked using approved existing standard models. Valuations Adjustments are sometimes required to compensate for the trade features not supported by the model.

That answer is correct.

Approximately Loaded Trades (ALT) are transactions for which the Risk Taking Desk is unable to capture relevant trade economics using Citi's approved models. These products are booked using approved existing standard models. Valuations Adjustments are sometimes required to compensate for the trade features not supported by the model.

That answer is not correct.

Refer to Trade Booking Exceptions for more information.

That answer is not correct.

Refer to Trade Booking Exceptions for more information.

That answer is not correct.

Refer to Trade Booking Exceptions for more information.

##

Who is responsible for identifying all trades booked with exceptions?

Select the best response from the five options and then select Submit.

Finance
Finance
Middle Office
Middle Office
Risk Taking Desk
Risk Taking Desk
Market Risk
Market Risk
Business Unit Managers
Business Unit Managers
Submit

The RTD is responsible for evaluating whether the transactions constitute an Approximately Loaded Trade, Risk Modified Trade, or Modular Loaded Trade.

The RTD will maintain a relevant inventory of transactions, as well as adhere to the controls required by the Pricing and Price Verification Policy.

That answer is not correct.

Refer to Trade Booking Exceptions for more information.

That answer is not correct.

Refer to Trade Booking Exceptions for more information.

That answer is correct.

The RTD is responsible for evaluating whether the transactions constitute an Approximately Loaded Trade, Risk Modified Trade, or Modular Loaded Trade.

The RTD will maintain a relevant inventory of transactions, as well as adhere to the controls required by the Pricing and Price Verification Policy.

That answer is not correct.

Refer to Trade Booking Exceptions for more information.

That answer is not correct.

Refer to Trade Booking Exceptions for more information.

##

What is key to ensuring Valuation Risk documents are properly maintained?

Select the best response from the five options and then select Submit.

Information related to the use of new or amended valuation models (where you are the model sponsor) is documented in the standardized VRDs before they are marked as active in iMRMS
Information related to the use of new or amended valuation models (where you are the model sponsor) is documented in the standardized VRDs before they are marked as active in iMRMS
VRDs are updated when there are changes to the incremental model use information that is not contained in iMRMS/PPL
VRDs are updated when there are changes to the incremental model use information that is not contained in iMRMS/PPL
VRDs are reviewed annually
VRDs are reviewed annually
All of the above
All of the above
None of the above
None of the above
Submit

All of the above are imperative to ensure Valuation Risk documents are accurate and maintain an up-to-date repository.

That answer is not correct.

Refer to Trade Booking Exceptions & Valuation Risk Documents for more information.

That answer is not correct.

Refer to Trade Booking Exceptions & Valuation Risk Documents for more information.

That answer is not correct.

Refer to Trade Booking Exceptions & Valuation Risk Documents for more information.

That answer is correct.

All of the above are imperative to ensure Valuation Risk documents are accurate and maintain an up-to-date repository.

That answer is not correct.

Refer to Trade Booking Exceptions & Valuation Risk Documents for more information.

##

If an Unapproved Model alert is deemed to be genuine, who is responsible for reviewing the actions taken by the Firm Account Owner and approving or rejecting the remediation actions via the supervisory platform (UNO)?

Select the best response from the three options and then select Submit.

Markets Quantitative Analysis (MQA)
Markets Quantitative Analysis (MQA)
Firm Account Owner
Firm Account Owner
Firm Account Owner's supervisor
Firm Account Owner's supervisor
Submit

If an Unapproved Model alert is deemed to be genuine, it is assigned to the relevant Firm Account Owner for remediation. The Firm Account Owner's supervisor is responsible for reviewing the actions taken by the Firm Account Owner and approving or rejecting the remediation actions.

That answer is not correct.

Refer to Model Risk for more information.

That answer is not correct.

Refer to Model Risk for more information.

That answer is correct.

If an Unapproved Model alert is deemed to be genuine, it is assigned to the relevant Firm Account Owner for remediation. The Firm Account Owner's supervisor is responsible for reviewing the actions taken by the Firm Account Owner and approving or rejecting the remediation actions.

##

Who is responsible for implementing Unchanged Pricing Control over inputs used for valuations of market making products in their Permitted Product Lists?

Select the best response from the four options and then select Submit.

The primary market making desks
The primary market making desks
Product Control
Product Control
Valuation Risk Team
Valuation Risk Team
Sales
Sales
Submit

The primary market making desk is tasked with implementing controls over inputs used for valuations of market making products in their Permitted Products Lists.

That answer is correct.

The primary market making desk is tasked with implementing controls over inputs used for valuations of market making products in their Permitted Products Lists.

That answer is not correct.

Refer to Unchanged Pricing Controls for more information.

That answer is not correct.

Refer to Unchanged Pricing Controls for more information.

That answer is not correct.

Refer to Unchanged Pricing Controls for more information.

##

If the models stamped to a trade do not include a permitted primary model (per PMM Permission) for the Master Product in question, what break type would this fall under?

Select the best response from the three options and then select Submit.

Primary Model
Primary Model
Model Dependency
Model Dependency
Market Scope
Market Scope
Submit

The PMM System will look at product ID and model ID(s) stamped on the trade and compare them against permissible primary models for Master Products. If none of the models stamped to the trade is a permissible primary model for that Master Product, a Primary Model break would arise.

That answer is correct.

The PMM System will look at product ID and model ID(s) stamped on the trade and compare them against permissible primary models for Master Products. If none of the models stamped to the trade is a permissible primary model for that Master Product, a Primary Model break would arise.

That answer is not correct.

Refer to Model Risk for more information.

That answer is not correct.

Refer to Model Risk for more information.

##

Which of the following categories of transactions are exempt from pre-trade approval requirements?

Select the best response from the four options and then select Submit.

Approximately Loaded Trade
Approximately Loaded Trade
Risk Modified Trade (Parametric)
Risk Modified Trade (Parametric)
Modular Loaded Trade
Modular Loaded Trade
Risk Modified Trade (Non-Parametric)
Risk Modified Trade (Non-Parametric)
Submit

Parametric RMTs use models designed to dynamically incorporate risk modifications into trade bookings, valuations, and risk metrics via the use of parameter settings. RMTs should be parametrized in the model where possible. Parametric RMTs are exempt from pre-trade approval requirements.

That answer is not correct.

Refer to Trade Booking Exceptions for more information.

That answer is correct.

Parametric RMTs use models designed to dynamically incorporate risk modifications into trade bookings, valuations, and risk metrics via the use of parameter settings. RMTs should be parametrized in the model where possible. Parametric RMTs are exempt from pre-trade approval requirements.

That answer is not correct.

Refer to Trade Booking Exceptions for more information.

That answer is not correct.

Refer to Trade Booking Exceptions for more information.

##

Which of the following is accountable for ensuring consistent valuations of financial instruments applicable to Markets and reports to the Markets Business Risk and Control Committee?

Select the best response from the three options and then select Submit.

Collateral and Client Valuation Forum
Collateral and Client Valuation Forum
Business Risk and Control Committee
Business Risk and Control Committee
Valuation Risk Council
Valuation Risk Council
Submit

The Valuation Risk Council (VRC) is accountable for ensuring consistent valuations of financial instruments applicable to Markets and reports to the Markets Business Risk and Control Committee (BRCC).

That answer is not correct.

Refer to Governance and Reporting for more information.

That answer is not correct.

Refer to Governance and Reporting for more information.

That answer is correct.

The Valuation Risk Council (VRC) is accountable for ensuring consistent valuations of financial instruments applicable to Markets and reports to the Markets Business Risk and Control Committee (BRCC).

## Assessment Results

Retry Test
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Home

Welcome
Valuation Methodologies
Trade Booking Exceptions
Model Risk
Unchanged Pricing Controls
Collateral and Client Valuations
Governance and Reporting
Key Takeaways
Assessment

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