EBU Single Rulebook Q&A 7 May 2020 2020_5231 Excess of collaterals after deduction from netting set for NSFR

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European Union · · · 22-12-2022

What treatment should be applied on excess of collaterals for the NSFR calculation? It is unclear whether an excess of posted collateral(s) - after deduction - could lead to change a negative netting set into a positive netting set (the opposite for received variation margin with a positive netting set can also be considered) for the net stable funding ratio (NSFR).

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