Procedures for the assessment of the value of OTC derivatives
Article 44
1. Member States shall require management companies to verify that UCITS exposures to OTC derivatives are assigned fair values that do not rely only on market quotations by the counterparties of the OTC transactions and which fulfil the criteria set out in Article 8(4) of Directive 2007/16/EC. 2. For the purposes of paragraph 1, management companies shall establish, implement and maintain arrangements and procedures which ensure appropriate, transparent and fair valuation of UCITS exposures to OTC derivatives. Member States shall require management companies to ensure that the fair value of OTC derivatives is subject to adequate, accurate and independent assessment. The valuation arrangements and procedures shall be adequate and proportionate to the nature and complexity of the OTC derivatives concerned. Management companies shall comply with the requirements set out in Article 5(2) and in the second subparagraph of Article 23(4) when arrangements and procedures concerning the valuation of OTC derivatives involve the performance of certain activities by third parties. 3. For the purposes of paragraphs 1 and 2, the risk management function shall be appointed with specific duties and responsibilities. 4. The valuation arrangements and procedures referred to in paragraph 2 shall be adequately documented.