Article 12
Collateral 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.