Prudential Regulation Authority Rulebook

11A.1

Where alternative valuation methods are used, a firm must:

1. (1) identify the assets and liabilities to which that valuation approach applies;
2. (2) justify the use of that valuation approach for the assets and liabilities referred to in 11A.1(1);
3. (3) document the assumptions underlying that valuation approach;
4. (4) assess the valuation uncertainty of the assets and liabilities referred to in 11A.1(1); and
5. (5) regularly compare the adequacy of the valuation of the assets and liabilities referred to in 11A.1(1) against experience.