When borrowing stock to make a short-sale, the borrower must post collateral to the lender in exchange for the shares. RBS calculates the collateral balance required for settled short stock positions based on the US industry convention.

The short collateral balance is calculated by multiplying the security’s prior day’s settlement price price by 102% (the US industry convention), then rounding up to the nearest dollar, multiplied by the number of shares that are shorted.

The daily short interest amount is calculated by multiplying effective short interest rate, multiplied by the short collateral balance, then divided by 360.

Please note that the current industry convention for the collateral calculation with respect to U.S. stocks is to multiply the security price by 102%, which may change based on local laws or market customs outside of the US; however, the collateral value will never be lower than 100% of the prior day’s settlement price multiplied by the number of shares that are shorted.