For every position accounted for at fair value, in the trading or banking book, the bank must run a prudent valuation framework (CAP50.1 to 50.2). It needs adequate systems and controls, integrated with its other risk management systems, that give management and supervisors confidence that valuations are prudent and reliable, including documented valuation policies and procedures (responsibilities, sources of market information, use of unobservable inputs, frequency of independent valuation, timing of closing prices, adjustment and month-end verification procedures) and a valuation function with reporting lines independent of the front office that lead ultimately to a main board executive director (CAP50.3). Positions are marked to market at least daily at independently sourced close-out prices, using the more prudent side of bid and offer unless the bank is a significant market-maker that can close out at mid (CAP50.4 to 50.5); mark-to-model is used only where marking to market is not possible and must be demonstrably prudent, with senior management aware of the positions marked to model, inputs sourced in line with market prices, generally accepted methodologies, in-house models developed or approved independently of the front office and independently tested, and formal change control (CAP50.6). Market prices and model inputs are verified independently of the dealing function at least monthly (CAP50.7 to 50.8). The bank must formally consider valuation adjustments for unearned credit spreads, close-out costs, operational risk, early termination, investing and funding costs, future administrative costs and, where appropriate, model risk (CAP50.9 to 50.10), assess and take adjustments for less liquid positions, considering among other factors hedging time, bid and offer volatility, independent quotes, trading volumes, concentrations, ageing and reliance on models, including for concentrated and stale positions (CAP50.11 to 50.12), explicitly assess model risk for complex products such as securitisations and nth-to-default derivatives (CAP50.13), and make the less liquid position adjustments reduce CET1, even beyond the accounting adjustments (CAP50.14).
This control maps to 1 controls across 1 other frameworks. If you already hold one of them, the evidence you collected for it is the starting point here rather than new work.
Every mapping shown was judged rather than inferred from wording similarity, and the ones that failed review are published too. See the coverage reports and what was rejected.
The graph holds this control, the 1 it maps to, and the evidence behind each claim, over MCP and REST.