美国证券交易委员会新公允价值规则下的基金估值（pdf）

DEC E MB ER 2021 Contents 1I. Introduction 3II. Range of Fund Investments and Their Varied Valuation Methodologies 6III. Key Contributors to the Fund Valuation Process 6A. Fund Boards9B. Investment Advisers11C. Key Third Parties 15IV. The Role of the SEC and Its Staff 17V. Rule 2a-5’s Core Requirements 17A. Assessing and Managing Valuation Risks18B. Establishing and Applying Methodologies21C. Testing Methodologies24D. Evaluating Pricing Services 28VI. Conclusion 30Appendix: Summary of Legal Requirements and Accounting Standards Affecting Fund Valuation 30A. General Obligations Under the Investment Company Act and Its Applicable Rules32B. “Fair Value” Under GAAP33C. Reporting Obligations and Accounting Standards35D. Registration Statement Disclosure Requirements35E. Money Market Funds36F. Closed-End Funds Gregory Smith, senior director of fund accounting and compliance, and Matthew Thornton, associategeneral counsel, authored this report; Dorothy Donohue, deputy general counsel, and Rachel Graham,associate general counsel, provided editorial assistance; and Christof Stahel, senior economist, andIrina Atamanchuk, research assistant, provided research assistance. The Investment Company Institute (ICI) is the leading association representing regulated funds globally, including mutualfunds, exchange-traded funds (ETFs), closed-end funds, and unit investment trusts (UITs) in the United States, and similar fundsoffered to investors in jurisdictions worldwide. ICI seeks to encourage adherence to high ethical standards, promote publicunderstanding, and otherwise advance the interests of funds, their shareholders, directors, and advisers. The content contained in this document is proprietary property of ICI and should not be reproduced or disseminated withoutICI’s prior consent. Copyright © 2021 by the Investment Company Institute. All rights reserved. Fund Valuation Under the SEC’s NewFair Value Rule I.Introduction Funds’1valuation practices are guided by the Investment Company Act of 1940 (InvestmentCompany Act), the valuation-related rules thereunder, and accounting standards. Section2(a)(41) of the act establishes a two-pronged approach to valuing portfolio investments: »securities for which market quotations are readily available must be priced atmarket value; and»all other securities must be assigned a “fair value as determined in good faith bythe board of directors” of the fund. Most funds value each of their portfolio investments every business day. This is anecessary step in a fund’s daily calculation of its net asset value (NAV). A fund then uses itsNAV to process daily purchases and redemptions by fund shareholders.2 A well-functioning valuation process is critically important to funds and their shareholders.As the Securities and Exchange Commission (SEC) has stated, “Proper valuation, amongother things, promotes the purchase and sale of fund shares at fair prices, and helps toavoid dilution of shareholder interests. Improper valuation can cause investors to pay feesthat are too high or to base their investment decisions on inaccurate information.”3Propervaluation also helps ensure accurate total return performance calculations, which arebased on the change to a fund’s NAV. As of September 30, 2021, funds registered under the Investment Company Act held $32.5trillion in assets. Funds hold a wide array of portfolio investments, including equities,fixed-income securities, and derivatives—valuing them requires a variety of processes,methodologies, inputs, and assumptions. Within the framework of the Investment Company Act, valuation practices have evolvedover the decades in response to: »the changing investment landscape, as evidenced by the increase in number andtype of funds’ portfolio investments;»changes to market structure;»enhanced data availability, including the development of the Financial IndustryRegulatory Authority (FINRA) Trade Reporting and Compliance Engine (TRACE);4»changes to accounting standards, including the development of AccountingStandards Codification Topic 820,Fair Value Measurement(ASC Topic 820); and»other relevant legal and regulatory actions, including the enactment of theSarbanes-Oxley Act of 2002 and adoption of rules thereunder, and adoption of Rule38a-1 under the Investment Company Act (the “compliance rule”) in 2003. In December 2020, the SEC adopted Rule 2a-5 under the Investment Company Act (the“fair value rule,” or the “rule”).5Motivated by the cumulative impact of the changesmentioned above, this rulemaking is the SEC’s most comprehensive and significant actionon fund valuation in 50 years.6Funds must comply with this new rule (and companionrecordkeeping Rule 31a-4) by September 8, 2022. Given the importance of this new rule and fund valuation generally, we have prepared thisreport to examine fund valuation practices. In the sections below, we discuss or describe: »the range of funds’ portfolio investments and how they are valued;»the key partie