UCITS daily valuation
Article 8(4) of Directive 2007/16/EC:
- For the purposes of the third indent of Article 19(1)(g) of Directive 85/611/EEC, the reference to reliable and verifiable valuation shall be understood as a reference to a valuation, by the UCITS, corresponding to the fair value as referred to in paragraph 3 of this Article, which does not rely only on market quotations by the counterparty and which fulfils the following criteria:
- (a) the basis for the valuation is either a reliable up-to-date market value of the instrument, or, if such a value is not available, a pricing model using an adequate recognised methodology;
- (b) verification of the valuation is carried out by one of the following:
- (i) an appropriate third party which is independent from the counterparty of the OTC derivative, at an adequate frequency and in such a way that the UCITS is able to check it;
- (ii) a unit within the UCITS which is independent from the department in charge of managing the assets and which is adequately equipped for such purpose.