Mark To Market values

[simteq]

Hi
I am new to this so please forgive this question, I am using version 5.7 for trades and looking at the new SA-CCR standard which requires Mark To Market values but I cannot see this in the Confirmation set of examples, how does FpML standard cater for MTM

Thanks
David

[lyteck]

Hi David,

First off my sincere apologies for the unacceptable delay in replying to your query. Please find an answer.

In FpML you need to use a quote element with a measureType = “NPV”. Trade Repositories may have different codes e.g. the DTCC GTR has adopted different measure type codes (e.g. MTM or MarkToMarket) which submitters need to use.

Hope this helps and again sorry for the delay. If you have any more questions please revert back and we’ll make sure they are answered in a timely fashion going forward.

Regards,
Lyteck / The FpML Team

[Author]

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