Volume 3 — Valuation and Risk Metrics © Copyright 2002, CCRO. All rights reserved. 35 Notes: Disclosure —Disclosure WG White Paper will determine what to disclose of this information. Model Complexity — The level of model complexity is: low, if transactions involve exchange look-alike products with no operational or other constraints medium, if transactions involve some operational constraints but the constraints are not the primary drivers of risk and, high, if transactions involve much more complex operation and/or contractual constraints. Level of Price Discovery — This varies by commodity, product and location. The level of price discovery is: low, if there are illiquid markets with little or no external price quotes or where the underlying transaction constitutes a large portion of the totality of the transactions in the market medium, if there are less liquid markets with periodic external price quotes available, or price levels which are validated on a daily basis and high, if there are large, liquid markets with multiple daily third party and/or exchange settled price quotes available. Option P&L— Option values only need to be discounted if the model used does not already discount the expected cash flows Hedge Metrics —The hedge metric varies by activity and can be a value-based, volume-based, or a risk-based metric. Performance Measures —Performance measures vary by activity and measure the level of return for the amount of risk being taken. The user will choose an appropriate return measure for the activity as well as a risk measure for the activity.