Valuation Adjustments
CA-16.1.10
As part of their procedures for marking to market, banks must establish and maintain procedures for considering valuation adjustments. CBB expects banks using third-party valuations to consider whether valuation adjustments are necessary. Such considerations are also necessary when marking to model.
Added: January 2012CA-16.1.11
The CBB expects the following valuation adjustments/reserves to be formally considered at a minimum: unearned credit spreads, close-out costs, operational risks, early termination, investing and funding costs, and future administrative costs and, where appropriate, model risk.
Added: January 2012
