Notice of the Department of Accounting of the China Securities Regulatory Commission on Issues Concerning the Valuation and the Calculation of the Per-unit Net Value of Securities Investment Funds Pursuant to the “Accounting Standards for Business Enterprises”

中国证券监督管理委员会会计部关于证券投资基金执行《企业会计准则》估值业务及份额净值计价有关事项的通知

Promulgating Institution: Department of Accounting of the China Securities Regulatory Commission

Document Number: Zheng Jian Kuai Ji Zi [2007] No. 21

Promulgating Date: 06/08/2007

Effective Date: 07/01/2007

颁布机关: 中国证券监督管理委员会会计部

文   号: 证监会计字[2007]21号

颁布时间: 06/08/2007

实施时间: 07/01/2007

The China Securities Regulatory Commission ("CSRC"), on November 26, 2006, issued the Notice on the Application of the "Accounting Standards for Business Enterprises" to Funds Management Companies and Securities Investment Funds (Zheng Jian Kuai Ji Zi [2006] No. 23), requiring the application of the Accounting Standards for Business Enterprises (hereinafter referred to as the "New Accounting Standards") to securities investment funds (hereinafter referred to as the "Fund") with effect from July 1, 2007.

With a view to regulating the valuation of all types of investment products of the Funds, ensuring the timely and accurate calculation of the per-unit net value after the application of the New Accounting Standards to the Funds, and better protecting the legitimate rights and interests of Fund unit holders, this Notice is hereby given as follows on issues concerning the valuation and the calculation of the per-unit net value after the application of the New Accounting Standards to the Funds:

  2006年11月26日,我会下发了《关于基金管理公司及证券投资基金执行<企业会计准则>的通知》(证监会计字[2006]23号),规定证券投资基金(以下简称基金)自2007年7月1日起执行《企业会计准则》(以下简称新会计准则)。为规范基金各类投资品种的估值业务,确保基金执行新会计准则后及时、准确地进行份额净值计价,更好地保护基金份额持有人的合法权益,现就基金执行新会计准则后估值业务和份额净值计价的有关事项通知如下:

1. Basic Requirements on Valuation

    一、估值业务基本要求

(1) The purpose of valuation of a Fund is to accurately and truthfully reflect the fair value of the Fund-related financial assets and financial liabilities. In the case of an open-end Fund, the prices for unit subscription and redemption shall be calculated according to the per-unit net value of the Fund determined after its valuation.

  (一)基金估值的目的是为了准确、真实地反映基金相关金融资产和金融负债的公允价值。开放式基金份额申购、赎回价格应按基金估值后确定的基金份额净值计算。

(2) To carry out the valuation of Funds and the calculation of their respective per-unit net value in an accurate and timely manner, a fund management company shall formulate business management systems for the valuation of Funds and the calculation of their respective per-unit net value,, and specify the principles and procedures for Fund valuation. In addition, it shall establish and improve its valuation decision-making system, adopt a reasonable and reliable valuation system, step up the training for operational staff to ensure that they are familiar with the valuation principles and specific valuation procedures for various types of investment products, constantly improve the risk monitoring, control and reporting mechanisms, and regularly review the valuation principles and procedures pursuant to the investment strategies of the Funds to ensure their continuous applicability.

  (二)为准确、及时进行基金估值和份额净值计价,基金管理公司应制定基金估值和份额净值计价的业务管理制度,明确基金估值的原则和程序;建立健全估值决策体系;使用合理、可靠的估值业务系统;加强对业务人员的培训,确保估值人员熟悉各类投资品种的估值原则及具体估值程序;不断完善相关风险监测、控制和报告机制;根据基金投资策略定期审阅估值原则和程序,确保其持续适用性。

(3) A custodian bank shall carefully peruse the valuation principles and procedures adopted by a fund management company before it reviews and verifies the net asset value ("NAV") of a Fund, and the prices for unit subscription and redemption. If the custodian bank has any objections to the valuation principles or procedures, it is obliged to require the fund management company to make reasonable explanations, and both parties shall reach consensus through active discussions.

  (三)托管银行在复核、审查基金资产净值、基金份额申购、赎回价格之前,应认真审阅基金管理公司采用的估值原则和程序。当对估值原则或程序有异议时,托管银行有义务要求基金管理公司作出合理解释,通过积极商讨达成一致意见。

(4) A fund management company, when conducting valuation of investment products with no market price in the active market, or of investment products with no active market, shall take into consideration all factors affecting the valuation, fully understand relevant valuation models and assumptions, prudently determine the fair value in consultation with the custodian bank, and fully disclose in its periodic reports the methods for determining the fair value, related valuation assumptions and other information as required.

  (四)基金管理公司在对活跃市场上没有市价的投资品种、不存在活跃市场的投资品种进行估值时,应综合各估值影响因素,充分理解相关估值模型及假设,经与托管银行协商,谨慎确定公允价值,并按相关法规的规定,在定期报告中充分披露确定公允价值的方法、相关估值假设等信息。

(5) To improve the rationality and reliability of valuation, the industry shall set up a Fund valuation working group. The working group shall assess the industry's valuation principles and procedures on a regular basis. After the working group has fully consulted market players of the industry, and has completed the record-filing procedures with the CSRC, it may put forward opinions on the valuation of investment products with no market price in the active market, or of investment products with no active market. The Securities Association of China ("SAC") shall be responsible for coordinating the formation and operation of the working group.

  (五)为提高估值的合理性和可靠性,行业需成立基金估值工作小组。工作小组应定期评估行业的估值原则和程序。在充分征求行业意见,履行向我会报备程序后,工作小组可对活跃市场上没有市价的投资品种、不存在活跃市场的投资品种提出估值意见。工作小组的组成及运作由中国证券业协会负责协调。

A fund management company and a custodian bank may refer to the opinions of the working group when carrying out the valuation of a Fund, calculating the per-unit net value of the Fund and doing related review tasks, but will not thus be exempted from relevant responsibilities.

  基金管理公司和托管银行在进行基金估值、计算基金份额净值及相关复核工作时,可参考工作小组的意见,但不能免除相关责任。

(6) Money market funds shall determine the shadow prices of investment products pursuant to the valuation principles set forth herein.

  (六)货币市场基金应按本通知的有关估值原则确定投资品种的影子价格。

2. Basic Principles of Valuation

    二、估值的基本原则

(1) In the case of an investment product with an active market, the market price on the valuation date, if any, shall be taken for determining the fair value. Where there is no market price on the valuation date, but the economic environment has not changed substantially after the last trading day, the fair value shall be determined as per the latest trading price. If there is no market price on the valuation date, and the economic environment has changed substantially after the last trading day, the current market prices of similar investment products and other major change factors shall be taken into consideration to adjust the latest trading price and determine the fair value. If there is sufficient evidence proving that the latest trading price is unable to truthfully reflect the fair value, the latest trading price shall be adjusted to determine the fair value.

  (一)对存在活跃市场的投资品种,如估值日有市价的,应采用市价确定公允价值。估值日无市价,但最近交易日后经济环境未发生重大变化的,应采用最近交易市价确定公允价值。估值日无市价,且最近交易日后经济环境发生了重大变化的,应参考类似投资品种的现行市价及重大变化因素,调整最近交易市价,确定公允价值。有充足证据表明最近交易市价不能真实反映公允价值的,应对最近交易的市价进行调整,确定公允价值。

(2) In the case of an investment product with no active market, the fair value shall be determined by means of valuation techniques that are generally recognized by market players and are considered reliable after being validated by previous actual market trading prices. The results generated by the use of valuation techniques shall reflect the trading prices of normal commercial transactions that are concluded on fair terms and conditions on the valuation date. Where the fair value is determined by valuation techniques, all market parameters taken into consideration by market players in pricing shall be used as many as possible, and regular verification shall be conducted to ensure the validity of the valuation techniques.

  (二)对不存在活跃市场的投资品种,应采用市场参与者普遍认同,且被以往市场实际交易价格验证具有可靠性的估值技术确定公允价值。运用估值技术得出的结果,应反映估值日在公平条件下进行正常商业交易所采用的交易价格。采用估值技术确定公允价值时,应尽可能使用市场参与者在定价时考虑的所有市场参数,并应通过定期校验,确保估值技术的有效性。

(3) Where there is sufficient evidence proving that the above valuation principles still fail to objectively reflect the fair value of an investment product, the fund management company concerned shall, depending on specific circumstances, negotiate with the custodian bank, and conduct valuation according to the price that reflects the fair value most appropriately.

  (三)有充足理由表明按以上估值原则仍不能客观反映相关投资品种的公允价值的,基金管理公司应根据具体情况与托管银行进行商定,按最能恰当反映公允价值的价格估值。

3. Valuation of Specific Investment Products

    三、具体投资品种的估值

(1) Valuation of products listed and traded on stock exchanges

Stocks and warrants listed on a stock exchange shall be valued as per their respective closing price, listed bonds as per their respective closing net price, and futures contracts as per their respective settlement price. The fair value of asset-backed securities transferred by block trading on a stock exchange shall be determined by valuation techniques. Where it is difficult to reliably measure the fair value by the valuation techniques, subsequent cost-based measurement shall apply.

  (一)交易所上市、交易品种的估值。交易所上市股票和权证以收盘价估值,上市债券以收盘净价估值,期货合约以结算价格估值。交易所以大宗交易方式转让的资产支持证券,采用估值技术确定公允价值,在估值技术难以可靠计量公允价值的情况下,按成本进行后续计量。

(2) Valuation of products that are issued but not listed on a stock exchange

The fair value of stocks, bonds and warrants that are issued for the first time but are not listed on the stock market shall be determined by valuation techniques. Where it is difficult to reliably measure the fair value by the valuation techniques, their respective fair value shall be determined according to their cost. Outstanding yet unlisted stocks, such as bonus shares, shares converted from bonds, shares issued under rights issue or public follow-on offering shall be valued at the market prices of the same stocks listed on a stock exchange. Stocks in an initial public offering that are subject to a clear lock-up period shall be valued at the market price of the same stock after they get listed on the relevant stock exchange. In the case of stocks in a non-public offering that are subject to a specific lock-up period, their fair value shall be determined pursuant to the Appendix hereto.

  (二)交易所发行未上市品种的估值。首次发行未上市的股票、债券和权证,采用估值技术确定公允价值,在估值技术难以可靠计量公允价值的情况下,按成本计量;送股、转增股、配股和公开增发新股等发行未上市股票,按交易所上市的同一股票的市价估值;首次公开发行有明确锁定期的股票,同一股票在交易所上市后,按交易所上市的同一股票的市价估值;非公开发行有明确锁定期的股票,按本文附件确定公允价值。

(3) Valuation of non-tradable products, such as products, of which trading is ceased on stock exchanges

In the case of rights issue options to which existing shareholders are entitled, as well as warrants that have ceased trading but are not exercised, the fair value thereof shall be determined by valuation techniques.

  (三)交易所停止交易等非流通品种的估值。因持有股票而享有的配股权,以及停止交易、但未行权的权证,采用估值技术确定公允价值。

(4) The fair value of bonds, asset-backed securities and other fixed-income products that are traded in the national inter-bank bond market shall be determined by valuation techniques.

  (四)全国银行间债券市场交易的债券、资产支持证券等固定收益品种,采用估值技术确定公允价值。

4. Handling of Pricing Errors and the Accountability therefor

    四、计价错误的处理及责任承担

(1) A fund management company shall formulate a plan for identifying errors in valuation and calculation of the per-unit net value and for emergency response. When an error in valuation or calculation of the per-unit net value actually occurs, the fund management company shall forthwith take corrective actions, and promptly adopt reasonable measures to prevent further worsening of the loss. When the amount involved in the error reaches or exceeds 0.25% of the NAV of a Fund, the fund management company shall promptly report the same to the CSRC.

  (一)基金管理公司应制定估值及份额净值计价错误的识别及应急方案。当估值或份额净值计价错误实际发生时,基金管理公司应立即纠正,及时采取合理措施防止损失进一步扩大。当错误达到或超过基金资产净值的0.25%时,基金管理公司应及时报告我会。

(2) Where a fund management company and the custodian bank thereof, in the process of Fund valuation, and calculation and review of the per-unit net value of a Fund, fail to comply with relevant laws and regulations or the Fund contract, thereby causing damage to the assets of the Fund or the Fund unit holders, they shall be liable for compensating the losses caused as a result of their respective acts in accordance with the law, and shall be jointly and severally liable for compensating any damage to the assets of the Fund or the Fund unit holders as a result of their joint acts.

  (二)基金管理公司和托管银行在进行基金估值、计算或复核基金份额净值的过程中,未能遵循相关法律法规规定或基金合同约定,给基金财产或基金份额持有人造成损害的,应分别对各自行为依法承担赔偿责任;因共同行为给基金财产或基金份额持有人造成损害的,应承担连带赔偿责任。

This Notice is hereby given.

  特此通知。

Appendix: Methods for Determining the Fair Value of Stocks in a Non-public Offering that Are Subject to a Specific Lock-up Period

  附件:非公开发行有明确锁定期股票的公允价值的确定方法

June 8, 2007

  二○○七年六月八日

Appendix:

  附件:

Methods for Determining the Fair Value [1] of Stocks in a Non-public Offering that Are Subject to a Specific Lock-up Period

非公开发行有明确锁定期股票的公允价值[1]的确定方法

If on the valuation date, the initial acquisition cost of stocks in a non-public offering that are subject to a specific lock-up period is higher than the market price of the same stocks listed on the relevant stock exchange, the latter shall be taken as the market price of the stocks on the valuation date.

  如果估值日非公开发行有明确锁定期的股票的初始取得成本高于在证券交易所上市交易的同一股票的市价,应采用在证券交易所上市交易的同一股票的市价作为估值日该股票的价值。

If on the valuation date, the initial acquisition cost of stocks in a non-public offering that are subject to a specific lock-up period is lower than the market price of the same stock listed on the relevant stock exchange, the value of the said stocks shall be determined according to the following formula:

  如果估值日非公开发行有明确锁定期的股票的初始取得成本低于在证券交易所上市交易的同一股票的市价,应按以下公式确定该股票的价值:

FV=C+(P-C)×(Dl-Dr)/Dl

  FV=C+(P-C)×(Dl-Dr)/Dl

Wherein:

  其中:

FV stands for the value on the valuation date of the stocks in a non-public offering that are subject to a specific lock-up period;

  FV为估值日该非公开发行有明确锁定期的股票的价值;

C stands for the initial acquisition cost of the stocks in a non-public offering that are subject to a specific lock-up period (if the market price excludes rights due to equity business, the initial acquisition cost shall be adjusted accordingly on the ex-date);

  C为该非公开发行有明确锁定期的股票的初始取得成本(因权益业务导致市场价格除权时,应于除权日对其初始取得成本作相应调整);

P stands for the market price, on the valuation date, of the same stocks that are listed on the stock exchange;

  P为估值日在证券交易所上市交易的同一股票的市价;

Dl stands for the number of trading days of the stock exchange covered under the specific lock-up period that is applicable to the stocks in the non-public offering;

  Dl为该非公开发行有明确锁定期的股票锁定期所含的交易所的交易天数;

Dr stands for the remaining length of the lock-up period as of the valuation date, i.e., the number of trading days of the stock exchange from the valuation date (exclusive) to the expiry of the lock-up period.

  Dr为估值日剩余锁定期,即估值日至锁定期结束所含的交易所的交易天数(不含估值日当天)。

[1] Stocks of non-public offerings already invested by shareholders prior to November 20, 2006 shall be valued pursuant to the Notice on Further Strengthening the Risk Control in Connection with the Investment in Non-public Offering of Shares by Funds (Notice of the Department of Investment Fund Supervision [2006] No. 37).

  [1]对2006年11月20日前已投资的非公开发行股票,按《关于进一步加强基金投资非公开发行股票风险控制有关问题的通知》(基金部通知[2006]37号)规定进行估值。