On what line in the AE-SOU are cash pledges related to Exchange Default Fund minimum requirement reported? 

The derivative payable row on AE-SOU 020 and 030 relates only the encumbered security pledges and not cash.

We would expect that cash pledge to mitigate derivative payable and minimum default funds paid to Exchanges should reported as encumbered and must reported as a source of encumbrance. Encumbered assets (AE-ASS) and collateral (AE-COL) must reconcile to the AE-SOU.

According to paragraph 11 of Annex XVII to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting), collateral pledged (including cash collateral) in default funds at CCPs should be considered as encumbered. Similarly, all other kinds of contributions to default funds that actually entail encumbrance of assets should be considered as a source of encumbrance.

However contributions to default funds of CCP cannot be considered as financial liabilities for the institution. Yet according to paragraph 19 of Annex XVII, all transactions including those with no associated funding shall be reported in the AE-SOU template (template F 32.04 of Annex XVI to the ITS on Supervisory Reporting).

Given that the amount of cash pledged to the default fund of a CCP is encumbered and that this contribution constitutes a source of encumbrance, it should be reported in row 160 and column 010 of the template AE-SOU, as described in the instructions on that row provided in chapter 2.4.2 of Annex XVII.