Topic: Banking-Risk Management
Report type: Fair Value Measurement Compliance Assessment Report (金融工具公允价值估值合规评估报告)

Please assess how the leading U.S. global asset management firms—BlackRock, Vanguard, Fidelity Investments, State Street Global Advisors, and Capital Group—have implemented requirements related to the fair value measurement of financial instruments, in line with the U.S. accounting and regulatory framework, including ASC 820 (Fair Value Measurement) and relevant SEC and Federal Reserve guidance on valuation and disclosure.

Drawing on publicly available information such as Form 10-K filings, regulatory disclosures, and authoritative ratings or research reports, conduct a systematic evaluation of each firm’s overall compliance and practice. On this basis, compare similarities and differences across firms in areas including valuation governance structures, valuation methodologies and fair value hierarchy classification, model usage and independent validation, and the adequacy and transparency of disclosures. Identify potential risk areas and gaps for improvement, and propose practical, actionable recommendations to enhance valuation governance and risk management.

## Scoring Rubric for Compliance and Disclosure Benchmarking Research on Fair Value Valuation of Financial Instruments

This rubric is designed to quantitatively assess the professional quality and executability of a research report on 'Fair value valuation practices of the top five U.S. global financial asset management institutions'. It supports both human review and LLM-based automated scoring. The rubric contains 4 primary dimensions and 13 secondary dimensions, with a total score of 100.

### 1. Accuracy of Accounting Standards and Regulatory Framework Mapping (25 points)

#### (1) Mastery of ASC 820 core requirements and accuracy of citations (10 points)
- 9-10: Accurately covers and correctly applies key ASC 820 concepts and disclosure points (e.g., exit price, principal/most advantageous market, boundaries for unit of account, the three-level input hierarchy, the three categories of valuation techniques, calibration and consistency, Level 3 sensitivity and rollforward table disclosures, etc.), and can map them item-by-item to the sampled institutions' disclosures with corresponding report sections/note topics; no major conceptual errors.
- 6-8: Covers major concepts and the hierarchy framework, but is not sufficiently precise on disclosure details, calibration/assessments of input observability, or Level 3 requirements; or contains a small number of correctable deviations.
- 0-5: Demonstrates clearly incomplete understanding or critical misinterpretations (e.g., mechanically equating Levels 1/2/3 with asset classes, confusing measurement attributes with valuation methods, or failing to explain the logic for determining input observability).

#### (2) Capability to map SEC disclosure requirements to valuation topics (8 points)
- 7-8: Establishes a clear mapping between the SEC disclosure framework and valuation issues (e.g., fair value disclosures in financial statement notes, significant accounting policies, estimation uncertainty, MD&A, risk factors, audit- and control-related disclosures, etc.), and explains how inter-firm disclosure differences affect investor understandability and comparability.
- 4-6: Identifies the general direction of SEC disclosures, but mapping is too high-level and does not reach a verifiable level of 'specific disclosure elements/tables/definition differences'.
- 0-3: Over-generalizes SEC requirements as 'need sufficient disclosure', lacking actionable mappings and supporting evidence.

#### (3) Applicability assessment and boundary clarification for FRB supervisory requirements (7 points)
- 6-7: Explains differences in applicability of relevant FRB supervisory focus areas across the five institutions (e.g., whether an entity is a bank holding company or within the Federal Reserve supervisory perimeter; shared supervisory expectations around valuation controls/MRM/third-party valuation management), and for institutions where requirements are not applicable or only weakly applicable, provides reasonable alternative evidence paths and clear research boundaries.
- 3-5: Mentions FRB supervision, but the applicability discussion is relatively generic and does not sufficiently address sample differences or supervisory chain differences.
- 0-2: Applies FRB requirements indiscriminately to all institutions or fully ignores the prompt requirements.

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### 2. Depth of Systematic Comparison of the Five Institutions' Valuation Practices (35 points)

#### (1) Comparison of valuation governance structure and division of responsibilities (9 points)
- 8-9: Clearly compares each institution's valuation governance (board/audit committee/valuation committee, management responsibilities, three lines of defense, segregation between investment teams and valuation/finance/risk functions, use and oversight of external pricing services, etc.), and explains the business/organizational drivers behind differences and potential control implications.
- 5-7: Compares major governance elements, but lacks depth on responsibility boundaries, independence safeguards, and conflict management.
- 0-4: Stays at descriptive statements such as 'has a committee/process', lacking substantive comparison and discussion of control effectiveness.

#### (2) Comparability analysis of valuation methods and ASC 820 level classification (9 points)
- 8-9: Performs verifiable comparisons of valuation techniques and level-classification logic for key asset/instrument types (e.g., trading/available-for-sale investments, derivatives, private/illiquid investments, fund interests, structured products, etc.); identifies key differences such as 'same asset type classified into different levels', 'differences in input observability', and 'level transfers driven by changes in market activity'.
- 5-7: Covers main methods and levels, but lacks detailed comparison of classification basis, reasons for level transfers, or differences by asset type.
- 0-4: Only lists Level 1/2/3 proportions or concepts, lacking a causal chain linking method -> inputs -> level.

#### (3) Model use, key assumptions, and independent validation (9 points)
- 8-9: Identifies model-use scenarios (DCF, option pricing, credit spread/volatility curves, correlation, liquidity discounts, etc.), governance over key unobservable inputs and assumptions; compares independent validation mechanisms (validation frequency, back-testing/benchmarking, price challenge processes, valuation adjustments/reserves, involvement of external auditors/third-party valuation specialists, etc.), and highlights model risk points.
- 5-7: Describes general model and validation practices, but lacks cross-institution comparison at the 'key assumptions/unobservable inputs' level or has a weak evidence chain.
- 0-4: Treats 'using models' in a generic way without explaining validation, back-testing, challenge, and adjustment mechanisms.

#### (4) Third-party pricing, price verification, and valuation adjustment mechanisms (8 points)
- 7-8: Compares differences in pricing sources (exchange quotes, broker quotes, pricing vendors, internal models), price verification, handling of anomalous prices, quote tiering/credibility assessment, valuation adjustments (e.g., liquidity/credit valuation adjustments), and escalation/approval workflows; explains implications for Level 2/3 risk.
- 4-6: Mentions third-party pricing and verification, but lacks process details, control points, and comparative analysis.
- 0-3: Missing analysis of pricing sources and verification mechanisms, insufficient to support conclusions on valuation reliability.

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### 3. Evidence Quality, Data Processing, and Research Verifiability (20 points)

#### (1) Authority of information sources, coverage, and traceable citations (10 points)
- 9-10: Main conclusions are traceable to public disclosures (10-K, relevant regulatory filings/fund disclosure documents, key audit report points, authoritative ratings/research reports, etc.), with clear citation labels (document type, year, section/note topic); flags differences in disclosure conventions across institutions; avoids substituting secondary interpretations for primary evidence.
- 6-8: Sources are generally sufficient, but citations for some key comparison points are not precise enough, or there are cases of 'research report paraphrase replacing original disclosure'.
- 0-5: Sources are unclear, citations are not verifiable, or reliance on non-authoritative materials undermines credibility.

#### (2) Multi-year trend analysis and consistency checks (5 points)
- 5: Conducts trend analysis across years (e.g., changes in Level 3 scale, level transfers, valuation technique changes, major accounting policy changes, disclosure expansion/contraction) and explains drivers and links to regulatory/market events.
- 3-4: Includes year-over-year comparisons, but explanations/attribution are weak or cover only a few institutions/years.
- 0-2: Primarily single-year cross-sectional description, failing to reflect multi-year implementation.

#### (3) Method transparency and reproducible comparison framework (5 points)
- 5: Clearly states the comparison framework and approach to definition/measurement alignment (e.g., how to handle entities without a 10-K, how to standardize terminology and table definitions, how to choose comparable business/entity scope, how to score or bucket qualitatively), enabling third parties to verify main conclusions.
- 3-4: Provides partial methodological explanation, but does not clearly justify key definition choices and comparability handling.
- 0-2: Lacks methodological disclosure; conclusions read as opinion-based and are hard to verify.

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### 4. Disclosure Adequacy Assessment, Risk Identification, and Actionability of Recommendations (20 points)

#### (1) Assessment of disclosure adequacy and investor understandability (8 points)
- 7-8: Evaluates 'sufficiency, clarity, and comparability' against ASC 820/SEC disclosure elements, and identifies specific gap types (e.g., insufficient Level 3 input sensitivity disclosures, boilerplate valuation technique descriptions, unclear reasons for level transfers, insufficient disclosure of key estimation uncertainty, significant judgments not echoed in MD&A/risk factors, etc.).
- 4-6: Identifies strengths/weaknesses, but evaluation criteria and evidence linkage are not tight enough, or lacks specific discussion of understandability/comparability.
- 0-3: Only provides generic assessments (e.g., 'disclosure is adequate/needs strengthening') without verifiable support.

#### (2) Identification of potential risk points and impact pathways (6 points)
- 6: Identifies key valuation-related risks (model risk, unobservable inputs, liquidity dry-ups, failure of third-party pricing, conflicts of interest/insufficient independence, control deficiencies leading to misstatement, regulatory review and reputational risk, etc.) and explains impact pathways to financial statements, fair value level distribution, fees/performance, or investor decision-making.
- 3-5: Identifies major risks but impact mechanisms are incomplete, or not tied to inter-institution differences.
- 0-2: Risk discussion is a checklist without mechanisms or prioritization.

#### (3) Executability and prioritization of recommendations (6 points)
- 6: Recommendations are specific and implementable (accountable owners, processes/policies, data and systems, validation frequency and metrics, disclosure templates and examples), and are prioritized (e.g., near-term actions/mid-term optimization/long-term build-out or by risk priority); balances compliance, cost, and organizational feasibility.
- 3-5: Directionally correct but too principle-based; lacks implementation levers or prioritization.
- 0-2: Vague recommendations (e.g., 'strengthen governance/improve disclosure') that do not guide execution.