QA2025-27- B04.00 - c0060: Net mark-to-market value
- SRB Services
| Attribute | Detail |
|---|---|
| Unique Identifier | QA2025-27 |
| Document | MBDT Guidance |
| MBDT Guidance | B04.00 |
| Title | B04.00 - c0060: Net mark-to-market value |
Question
Should the market value be interpreted as “net amount of funding received”, in line with reporting of T08.00 column c0100 and thus, not include the accrued interest?
Response
We understand that the question relates to a case where the SFTs includes a cash leg (for instance, the amount of cash borrowed in case of a repo). If this is confirmed, Option 2 would apply and both the amount of funding received and any applicable accrued interest should be considered. For the sake of completeness, please also note that the MBDT guidance clarifies that the uncollateralized part of the secured liability must be reported (only if the value in field c0060 is positive), ensuring that only net liabilities of the institution are in scope.