4915. Pricing

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    1. In addition to the requirements in Part C of Rule 4200, a Dealer Member must comply with the requirements in subsections 4915(2) through 4915(4) in pricing derivatives.

    2. Derivatives positions must be marked to market at least daily.

    3. A Dealer Member’s independent risk management function must:

      1. validate all pricing models, including computing market data or model inputs,

      2.  review and approve pricing models and valuation systems used by front and back-office employees, and

      3. review and approve reconciliation procedures if different systems are used.

    4. Valuations derived from models must be independently reviewed at least monthly.

    4916. – 4999. Reserved.

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