Asset Prices

Price Source>

Status: Under Review, Last Updated: 20/09/2020

Price Source
Whilst recognising each firm's right to use multiple sources to create a single blended price feed, Bloomberg should be used as the final arbitrating source in any resultant pricing or FX dispute unless otherwise agreed between counterparties. Wherever possible the following prices should be taken: (IBP-127)

Close-of-Business (COB)>

Status: Under Review, Last Updated: 20/09/2020

Close-of-Business (COB)
As defined in the standard Global Master Securities Lending Agreement (2010), the price used for market valuation should be the last quoted close-of-business mid-price available from a reputable source chosen in good faith, unless otherwise agreed.

It is recognised that different markets may present close-of-business at different times. Therefore, as a guide:-

• EMEA and Americas market prices will typically be prior days close of business price.

• APAC market prices will typically be same day. (IBP-128)

Exceptional Pricing>

Status: Under Review, Last Updated: 20/09/2020

Exceptional Pricing
Where both parties agree there has been an exceptional movement in the price of the asset in question since previous close-of-business, the latest
available price should be used. (IBP-309)

Foreign Exchange Rates>

Status: Under Review, Last Updated: 20/09/2020

Foreign Exchange Rates
Where the price is in a currency other that the base currency, the price should be converted into the base currency using the last close-of-business spot rate.

In the event of a dispute around spot FX rates, the rate should be obtained using the default BGN. Bloomberg FX Generic source taking the number of decimal places displayed on the screen (i.e. 5 characters, e.g. 12.345 or 1.2345).

Between any American or European currencies - Close of business previous day.
Between any American or European currencies and Asia Pacific currencies - Close of business previous day.
Between any Asia Pacific currencies - Close of business same day.

Where appropriate prices should be rounded UP to the nearest cent. (IBP-129)

CREST>

Status: Under Review, Last Updated: 20/09/2020

CREST
For UK assets, both bonds and equities, the CREST closing prices will supersede all other price sources including Bloomberg and Reuters.
(IBP-310)