Article 29
Valuation of MMFs
1.
The assets of an MMF shall be valued on at least a daily basis.
2.
The assets of an MMF shall be valued by using mark-to-market whenever possible.
3.
When using mark- to-market:
(a)
the asset of an MMF shall be valued at the more prudent side of bid and offer unless the asset can be closed out at mid-market;
(b)
only good quality market data shall be used; such data shall be assessed on the basis of all of the following factors:
(i)
the number and quality of the counterparties;
(ii)
the volume and turnover in the market of the asset of the MMF;
(iii)
the issue size and the portion of the issue that the MMF plans to buy or sell.
4.
Where use of mark-to-market is not possible or the market data is not of sufficient quality, an asset of an MMF shall be valued conservatively by using mark-to-model.
The model shall accurately estimate the intrinsic value of the asset of an MMF, based on all of the following up-to-date key factors:
(a)
the volume and turnover in the market of that asset;
(b)
the issue size and the portion of the issue that the MMF plans to buy or sell;
(c)
market risk, interest rate risk, credit risk attached to the asset.
When using mark-to-model, the amortised cost method shall not be used.
5.
A valuation carried out in accordance with paragraphs 2, 3, 4, 6 and 7 shall be communicated to the competent authorities.
6.
Notwithstanding paragraphs 2, 3 and 4, the assets of public debt CNAV MMFs may additionally be valued by using the amortised cost method.
7.
By way of derogation from paragraphs 2 and 4, in addition to the mark-to-market referred to in paragraphs 2 and 3 and the mark-to-model referred to in paragraph 4, the assets of LVNAV MMFs that have a residual maturity of up to 75 days may be valued by using the amortised cost method.
The amortised cost method shall only be used for valuing an asset of a LVNAV MMF in circumstances where the price of that asset calculated in accordance with paragraphs 2, 3 and 4 does not deviate from the price of that asset calculated in accordance with the first subparagraph of this paragraph by more than 10 basis points. In the event of such a deviation, the price of that asset shall be calculated in accordance with paragraphs 2, 3 and 4.