Contents
Article 12Collateral valuation#
1.A CSD-banking service provider shall establish collateral valuation policies and procedures that ensure the following:
(a)that the financial instruments referred to in Article 10 are valued mark-to- market on at least a daily basis;
(b)that the financial instruments referred to in Article 11(1) are valued on at least a daily basis, and, where such daily valuation is not possible, that they are valued on a mark-to-model basis;
(c)that the financial instruments referred to in Article 11(2) are valued on at least a daily basis, and where such daily valuation is not possible, that they are valued on a mark-to-model basis.
2.The methodologies for the mark-to-model valuation referred to in points (b) and (c) of paragraph 1 shall be fully documented.
3.A CSD-banking service provider shall review the adequacy of its valuation policies and procedures in all of the following cases:
(a)on a regular basis which shall be at least annually;
(b)where a material change affects the valuation policies and procedures.
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