Large Bank Examination Workshop February 2026

Mark to Model • Marking to model is an alternative to marking to market when market prices are not available. • It is defined as any valuation that has to be benchmarked, extrapolated, or otherwise calculated from a market input. • Addresses ASC 820 Level II and Level III securities.

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Validation Issues - Data • Complex investment securities can be especially problematic to obtain values for • Biggest problems for most organizations:  Private label mortgage-backed securities  TruPS (Trust Preferred and TruPS CDOs)  Thinly traded ABS  Private credit instruments (loans or bonds) • Institutions should have Pricing Policies indicating how problematic securities should be treated  Such policies should have escalation procedures to a Pricing Committee when there is a conflict between front and back office on pricing.

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