LM-12.4.20
Securities financing transactions with a single counterparty may be measured net when calculating the NSFR, provided that the netting conditions are as set out below:
(a) Transactions have the same final settlement date;
(b) The right to net the amount owed to the counterparty with the amount owed by the counterparty is legally enforceable both currently in the normal course of business and in the event of; (i) default; (ii) insolvency; and (iii) bankruptcy; and
(c) Transactions are settled net, settled simultaneously, or are subject to a settlement mechanism that results in a single net amount on the settlement date.
August 2018