EBU Single Rulebook Q&A 22 January 2016 2016_2590 Netting set treatment for trades with Specific Wrong Way Risk
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European Union · · · 18-11-2016
For a netting set with three OTC derivative trades (trades A, B and C), Trade A is identified existing Specific Wrong-Way Risk. The underlying collateral was assigned in trade level, namely collateral 1, 2 and 3 allocated to trade A, B and C respectively. When removing trade A from the netting set and treated as a separate netting set, shall the underlying collateral be considered?
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