v09808_m - netting set with IMM and SA-CCR positions

The purpose of template C 34.02 of Annex I to Regulation (EU) 2021/451 (ITS on Supervisory Reporting) is to obtain an overview over an institution's exposures subject to counterparty risk, and the prudential treatment of such exposures. There could be cases where netting sets, as defined in Article 272, point (4), of Regulation (EU) No 575/2013 (CRR), comprise positions to which more than one approach for determining the exposure value for CCR is applied, i.e. netting sets where distinct positions belonging to the same netting set are treated using distinct CCR approaches. In those cases, institutions should fill in the information in template C 34.02 by considering those distinct parts of the netting set (i.e. those 'sub-netting sets') separately, treating them as if they were two different netting sets. That separate treatment should also be applied for the total row (r0110) of template C 34.02.  For example, where two CCR approaches apply to the same netting set and the current market value is positive (+50) for one 'sub-netting set' and negative (-80) for the other, institutions should not net the two values for the purpose of filling in template C 34.02 and the two values should be reported separately for the purposes of the total row (i.e. c0040 = 50, c0050 = -80). Based on the considerations above, v09808_m is valid and applicable.