The document discusses several topics from a 2015 fair value pricing survey, including: - Nearly half of participants use a zero trigger for foreign securities, and 7% lowered their trigger. - Most participants only challenge prices with market data and may change prices. - Only 6% of participants now use odd lot pricing from vendors for fixed income securities. - 73% of participants revised their valuation policies and procedures to address pricing sources, hard to value assets, and governance.

1. Current Perspectives on
Investment Valuation

2. 2015 Fair Value Pricing Survey

3. Survey highlights
• Foreign securities – Zero triggers
o 7 percent of Fair Value (FV) Survey participants lowered trigger
o 47 percent reported that they use a zero-trigger
• Price challenges – Market data
o 61 percent (up from 54 percent) only challenge with market data
o 79 percent (up from 73 percent) may change the price
• Fixed income securities – Odd lot pricing
o Prior year 98 percent/2 percent
o Only 6 percent FV Survey participants use odd lot price from a pricing
vendor
• Valuation policies and procedures – Updates
o 73 percent revised their valuation policies and procedures
o Pricing sources, asset classes, hard to value, due diligence,
governance

4. Governance & KVIs
• Survey highlights
• Industry observations
• What’s next?

5. Liquidity
• SEC Activities
• Industry perspectives

6. SEC Activities
• SEC actions
• Industry perspectives

7. • U.S. Money Market Reform Overview
– Moving to a floating NAV from $1 stable NAV
– Moving away from amortized costs to fair value pricing
– Evaluated Prices are inputs to fair value. Board Considerations:
• Inputs
• Methodologies
• Models
• Assumptions
– Funds must be compliant by October 2016
• Implications of U.S. Money Market Reform
– Increased due diligence visits and vendor participation in board meetings
– Transparency of prices
– Intraday Money Market prices
• Industry has been discussing 9:00 a.m. EST / 12:00 p.m. EST / 3:00 p.m. EST / EOD valuation points.
– SOC1 and Institutional Controls will become a point of emphasis
– Methodology documentation
NTAC:2SE-18

8. Mutual Fund Accounting Valuation Reports- Daily
• Halted/Suspended/Delisted Securities- Intraday report holdings halted, suspended or de-listed
• Trade vs. Market Price Report- Report detailing trade prices vs. vendor prices
• T plus 1 Report- Shows trades processed greater than t+1. Includes NAV impact
• Stale Price Report – Details staled prices. Includes commentary
• Percentage Movement Report – Large pre-defined tolerance price movements
• Daily Fair Value Report- Local market prices, FV factors, and factored prices
• Daily Back Testing Report- Report compares same day prices (close, fv) vs. next day open prices
• Price Source Change Report- Details securities with changed pricing source
Monthly/Quarterly Reporting
• T+1 Report Summary
• Trade vs. Market Prices
• Fair Value Board Reports
NTAC:2SE-18

9. 16%
11%
10%
5%
13%
13%
11%
11%
11%
30%
34%
15%
8%
16%
33%
36%
39%
39%
54%
55%
75%
87%
71%
54%
53%
50%
50%
0% 20% 40% 60% 80% 100%
% of Fair Value Days
Fair Value Scorecard - Q1 2015
Directionally Incorrect Directionally Correct Spot On
Fund 1
Fund 2
Fund 3
Fund 4
Fund 5
Fund 6
Fund 7
Fund 8
Fund 9
Definitions:
Each Fair Value NAV was evaluated against the Same Day Close NAV and Next Day Open NAV. Results of each evaluation are aggregated in
in the following three categories:
"Directionally Incorrect" - The Fair Value NAV was marked in the opposite direction of the Next Day Open NAV and greater than 10 bps
"Directionally Correct" - The Fair Value NAV was marked correctly in the direction of the Next Day Open NAV, but greater than 10 bps
"Spot On" - The fair value NAV was within 10 bps of the Next Day Open NAV
NTAC:2SE-18