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Mark to Market Disciplines

Mark to Market Loans

Loans should be re-priced everyday and submitted to the borrowing counterparty. Bloomberg should be used as the final arbitrating source in any resultant pricing or FX dispute unless otherwise agreed between the parties. (IBP-130)

Mark to Market Collateral Matching

Matching required collateral to cover a loan should be done via an automated reconciliation platform. All existing and new counterparties are encouraged to use such a platform. Where automated mark to market matching is not possible, the counterparties will be required to match via the sharing of files. The minimum amount of information that should be provided is; *Security name *Security identifier *Prior price and collateral value *New price collateral value *Amount due (i.e. difference between current price and value and new collateral price and value). If required by the borrowing party, the lender must be able to provide additional details such as the below; *Report date *Currency *Payment method *Fund *Loan ID *DVP/FOP marker *Security currency *Number of shares/bonds *Margin requirement *New FX rate *Payment instructions. Rounding of collateral should be done in accordance with the legal documents exchanged between the two counterparties. In the event of illiquid securities, discrepancies should be escalated for resolution according to each parties internal procedures and pricing policies. (IBP-131 UNDER ISLA REVIEW)

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