Cash Collateral Pool Marking

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

Question:
When cash collateral pools are marked for exposure management, should the increase/decrease in daily values be reported and, if so, how?

Best Practice:
Participants must ensure that the associated COLU template is sent daily and that the marked/re-rated value of the cash-pool is up-to-date when reported. This includes all settled and contractually expected collateral, therefore include anything that is due for that event date but not yet delivered or received.

ESMA Guidelines Reporting under Articles 4 and 12 SFTR: 06 January 2020

333. Collateral market value (Field 2.88) should be reported at fair value, excluding haircut. In
other words, the collateral market value should include all of the collateral posted by the
collateral provider, including pending but not-yet-settled collateral, before any haircut
deduction. (SFTR-338)