SIO-6.1.4
When using mark-to-market valuation the reserve assets must be valued at the prudent side of the bid and offer unless the reserve assets can be closed out at mid-market value. Only market data of good quality should be used, and data should be assessed on all of the following factors:
(a) the number and quality of counterparties;
(b) the volume and turnover in the market of the reserve asset;
(c) the total size of the reserve asset.
Added: July 2025