Glossary for Collateral Management

Accrued interest: Interest that has been earned on a bond but not yet paid. Typically, interest accrues on a daily basis from the previous coupon date (inclusive) to the value date (exclusive). An investor buying a bond must pay accrued interest to the Collateral Giver.
Agreement: An Agreement represents a relationship between a Collateral Giver and a Collateral Receiver for a given service type with a specific risk profile. The service types are TRS, TSLS1, TSLS2 and TCMS.
AutoAssign (AA): Securities to be transferred between a Collateral Giver's account and a collateral account are selected automatically according to the eligibility criteria set by the Collateral Receiver in Appendix A of the Collateral Management Service Agreement for Collateral Receivers.
Central account: CBL customer account used to centralise cash and securities from the triparty collateral management activity. It is one factor in defining priorities in the collateral pools.
Clearstream Banking account: An account opened in Clearstream Banking Luxembourg (CBL).
CmaX: Collateral management eXchange - the collateral management system of Clearstream Banking Luxembourg (CBL).
Collateral account: An account opened in CBL on behalf of the Collateral Receiver (in the case of transfers of title) or on behalf of the Collateral Giver (in the case of pledges). Collateral accounts are used solely for collateral management transactions.
Collateral Giver: The party to a transaction that provides collateral securities and/or cash to the Collateral Receiver in exchange for securities and/or cash.
Collateral Receiver: The party to a transaction that lends securities and/or cash to the Collateral Giver in exchange for an amount of securities and/or cash that is held and monitored on the collateral account.
DVP: Delivery against payment. Simultaneous exchange of securities against cash between accounts.
Eligibility check: An eligibility check is carried out on the proposed collateral securities to confirm that the assets notified for use in the transaction are eligible for settlement in Clearstream Banking.
End of day: 18:30 CET. End of day reports incorporate the final activity for a particular value date. Any activity after end of day is considered for the next value date.
Exposure: A trade between a Collateral Giver and a Collateral Receiver to be covered by collateral. Exposure details are, for example, an opening date, a principal or a closing date. "Exposure" is a synonym of "trade", "agreement" or "transaction". An exposure can be the result of a repo trade, a securities loan, a cash loan or any other contractual obligation resulting in the delivery of collateral.
FOP: Free of payment. Delivery or receipt of securities between accounts with no cash movement.
Mandatory Settlement Period: Period running from 20:30 on settlement date -1 until 14:40 on settlement date. Haircut The amount by which the market value of the securities used in a securities lending transaction must exceed their exposure countervalue. The Haircut is built in to protect the Collateral Receiver against fluctuations in securities prices and/or foreign exchange. Sometimes called "haircut".
Mark-to-market: The daily valuation of securities held in the collateral accounts and loan securities for TSLS1 and TSLS2.
Open exposure: An exposure with no definite term. The Collateral Giver and the Collateral Receiver must agree to and notify Clearstream Banking of the termination date.
Own Account: A CBL customer account from which any assets can be used as collateral for triparty collateral management activity. An Own Account can be used as a source account but may not hold any "reused" securities.
Reservation account: A dedicated account in Creation, holding collateral available for use via Xemac (for example, for Euro GC Pooling or pledge to the Deutsche Bundesbank).
Securities lending: A securities lending agreement is one whereby a Collateral Receiver lends securities to a Collateral Giver at an agreed rate.
Segregation account: A dedicated account in Creation, holding collateral received via Euro GC Pooling trades.
Start of day: 10:00 CET. Start of day reports include updated mark-to-market data on all outstanding collateral management transactions.
Substitution: The process by which a Collateral Giver can replace securities allocated to collateral accounts with other eligible securities against a cash countervalue.
Sufficiency check: A check carried out on the proposed incoming securities to calculate the nominal amounts of securities required against the exposure. This calculation is based on market prices received from a number of data feeds. The valuation includes the accrued interest to date and the Haircut requirements agreed between the two counterparties to the transaction.
Value date: The date on which securities are transferred between the Collateral Receiver and the Collateral Giver.
Xemac: EXchange electronic management of collateral - the collateral management system of CBF.