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:
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(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; |
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(b) |
only good quality market data shall be used; such data shall be assessed on the basis of all of the following factors:
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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:
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(a) |
the volume and turnover in the market of that asset; |
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(b) |
the issue size and the portion of the issue that the MMF plans to buy or sell; |
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(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.