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  • Adjustment to the Current Valuation of Less Liquid Positions for Regulatory Capital Purposes

    • CA-16.1.11A

      Conventional bank licensees must establish and maintain procedures for judging the necessity of and calculating an adjustment to the current valuation of less liquid positions for regulatory capital purposes. This adjustment may be in addition to any changes to the value of the position required for financial reporting purposes and must be designed to reflect the illiquidity of the position. The CBB requires conventional bank licensees to consider the need for an adjustment to a position's valuation to reflect current illiquidity whether the position is marked to market using market prices or observable inputs, third-party valuations or marked to model.

      January 2015

    • CA-16.1.11B

      'Less liquid positions' would generally involve positions in OTC financial instruments or commodities which are not listed or which are not traded through a central counterparties (such as NYSE Euronext or Chicago Mercantile Exchange) or which do not have readily available secondary market prices or observable inputs to valuation.

      January 2015