SIO-6.1.5
Where use of mark-to-market as referred to Paragraph SIO-6.1.3 is not possible or the market data is not of sufficiently good quality, the reserve asset must be valued conservatively by using mark-to-model. The model should accurately estimate the intrinsic value of the reserve asset, based on all of the following up-to-date key factors:
(a) the volume and turnover in the market of that reserve asset;
(b) the total size of the reserve asset;
(c) the market risk, interest rate risk and credit risk attached with the reserve asset.
Added: July 2025