Prudential Regulation Authority Rulebook

11D.1

A firm must have:

1. (1) effective systems and controls to ensure that valuation estimates of their assets and liabilities are reliable and appropriate to ensure compliance with the Valuation Part; and
2. (2) a process for regularly verifying that market prices or valuation model inputs are appropriate and reliable.

11D.2

A firm must establish, implement, maintain, and document clearly defined policies and procedures for the process of valuation, including the description and definition of roles and responsibilities of the personnel involved with the valuation, the relevant models, and the sources of information to be used.

11D.3

A firm must be able to, upon request by the PRA, undertake an external, independent valuation or verification of the value of material assets and liabilities.

11D.4

A firm must fulfil all of the following requirements:

1. (1) provide sufficient resources, both in terms of quality and quantity, to develop, calibrate, approve and review valuation approaches used for solvency purposes;
2. (2) establish internal control processes which include all of the following:
   1. (a) an independent review and verification on a regular basis of the information, data, and assumptions which are used in the valuation approach, its results, and the suitability of the valuation approach with respect to valuation of the items referred to in 11A.1(1); and
   2. (b) oversight by the persons who effectively run the firm of the internal processes for approval of those valuations and the process in place to take account of any external, independent valuation or verification of the value of material assets or liabilities.