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Daily Collateral Process and Requirements

Initial Collateral Calls

The counterparties should notify initial daily collateral exposure requirements by 13.30 London time or such other time as agreed in the master lending agreement. Subsequent changes to exposures valuations are generally caused by the transacting of new same day settlement loans or settlement of late returns, which have been excluded from initial calculations. Both counterparties should address any such changes to exposure valuations as soon as is practicably possible. Counterparties should bilaterally agree loan and collateral values taking account of pending loans and returns, settled transactions and collateral values before agreeing any further collateral movement.The legal agreement between parties may provide a timeframe for collateral management and unless otherwise agreed between counterparties, the following timeframes should be adhered to: (IBP-168 UNDER ISLA REVIEW)

Bilateral Arrangements

Intraday collateral exposure agreement should be reached as soon as possible after pricing updates have been received and with final agreement by 16.30 London time. Ad-hoc or late agreement will be done on a best efforts basis. (IBP-169 UNDER ISLA REVIEW)

Bilateral Collateral Substitutions

It is recommended that the counterparties agree collateral substitutions in accordance with their legal agreement and in as timely a manner as possible but no later than an hour before the market deadline. Collateral delivered as a substitution for collateral being withdrawn must adhere to the agreed eligibility schedule and be of sufficient value. (IBP-170 UNDER ISLA REVIEW)

Tri-party Collateral Arrangements

Where triparty collateral managers are used, it is recommended that both counterparties should first bilaterally agree the required collateral value (RQV) prior to submission of figures to the triparty agent. Initial RQV agreement should be completed by 14:00 London time. Any subsequent RQV increases/ decreases should be agreed bilaterally prior to submission to a triparty agent. Final RQV agreement should be completed by 4.30pm (London time). Ad-hoc or late agreement will be done on a best efforts basis. (IBP-171 UNDER ISLA REVIEW)

UK CREST Delivery by Value

Counterparties should agree required DBV collateral figures no later than 3.30pm (London time) and instruct the DBV in Crest no later than 3.45pm (London time). It is recommended that both counterparties reconcile their open positions to Crest. If they are still unable to agree the DBV value, the exposure figure provided by Crest should be accepted and the DBV instructed no later than 15.45 London time. In the event of the continuing discrepancy with the DBV values, both parties should perform a reconciliation of all open positions to those in Crest. (IBP-172 UNDER ISLA REVIEW)


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