Agreement & Reconciliation of Tri-Party RQV's

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Status: Under Review, Last Updated: 07/08/2020

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Counterparties should address exposure capture as early as possible to ensure that the proposal, agreement and resulting instruction of Triparty Required Value (RQV) is completed in good time.

Timely agreement will allow lenders and borrowers sufficient time to not only collateralise settled positions but also identify any RQV or exposure differences (e.g. variation or pending activity) that require research and remediation.

In support of this, on a normal business day the following guide times should be observed:

• A 'Start of Day' RQV agreement process no later than 10:00 (UTC).

• Intraday RQV revisions on an 'on-demand' basis - triggered by either lender or borrower with the guide completion deadline of 14:00 UTC.

• An 'End of Day' RQV agreement process no later than 17:00 (UTC).
  Any internal deadlines should be clearly explained, communicated, and agreed bilaterally in advance of any trading activity. Should the agreed deadlines not met by either party, an escalation process should be triggered.

Use of a vendor solution may assist in instructing and resolving mismatched RQV, as such their use is encouraged.

Note: Times quoted are EMEA centric, firms in APAC and North America may have alternative deadlines.

General Expectations:

• The RQV exposure value must cover all agreed pending and outstanding positions

• The value of loans should be driven by the last available close-of-business (COB) price.

• Once an RQV has been bilaterally agreed, regardless of time (SOD/INTRADAY/EOD value), both parties should instruct that RQV to the correct Tri-Party agent within 30 minutes.

• If a Tri-Party RQV instruction is matched but not yet covered then a 'hand-off' to an alternative region should be supported where possible and bilaterally communicated. (IBP-189)