CIB 6.6 CIB 6.6 General requirements: marking to market
Subject to the exceptions set out in this Chapter, Rule 6.6.2 applies in relation to the valuation of Investments that are, or amounts arising from the disposal of:(a) debt securities, bonds and other money-market and capital-market instruments;(b) loans;(c) shares and other variable yield participations;(d) units in Collective Investment Funds;(e) Derivatives; and(f) any balance sheet position measured at market value or fair value.
Wherever possible, a Captive Insurer must mark-to-market in order to measure the value of the investments and positions to which this Rule applies under Rule 6.6.1. Marking to market is valuation at readily available close out prices from independent sources.
For the purposes of Rule 6.6.2, examples of readily available close out prices include exchange prices, screen prices, or quotes from several independent reputable brokers.
When marking to market, a Captive Insurer must use the more prudent side of bid/offer.