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Mark to Market on Rebate Trades

Mark to Market on Rebate Trades


Status: Best Practice Finalised, Last Updated: 26/04/2021

When a Mark-to-Market (MTM) on a cash collateralised rebate trade is undertaken, should a MODI be reported to reflect the price change and a COLU to represent the cash amount of the mark?

Best Practice:
Most institutions send a VALU report every day because of the change in Field 2.57 (Market Value).

If there is mark to market on the loan and therefore a call for more collateral, then the expectation is that an amended COLU is also sent. Even if collateral positions do not change from day-to-day at a counterparty level, your collateral position should still be updated each working day, each COLU will overwrite the previous sent COLU and be considered the latest state at the TR. (SFTR-268)


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