Applicability of notional and CMV concepts to SFT for the purpose of template C 34.02

For a bank using the FCCM exposure calculation method for SFT according to Chapter 4 of Title II of Part Three CRR (Article 223), it is not clear how to populate columns 0030, 0040/0050 and 0150 of template C 34.02 in Annex I to Regulation (EU) 2021/451 (ITS on Reporting). The notional amount and the CMV are not recognized concepts for SFT. These parameters are not quoted in any article regarding SFT. A repo transaction is composed by only 2 parameters, the security posted and the cash received. In case of a repurchase agreement transaction under the Financial Collateral Comprehensive Method, please precisely answer the following questions: What is the notional amount of the repo to be reported in column 0030 ? The security value posted (or the security nominal ?) The Cash nominal received The security value posted - the cash received Not relevant, do not populate Other, please indicate What is the current market value of the repo to be reported in column 0040/0050 ? The security value posted The Cash nominal received The security value posted - the cash received The security value posted as a negative position (column 0050) Not relevant, do not populate Other, please indicate What is the exposure value pre-crm to be reported in column 0150 ? The security value posted The security value posted - cash received Other, please indicate

For a bank using the FCCM exposure calculation method for SFT according to Chapter 4 of Title II of Part Three CRR (Article 223), it is not clear how to populate columns 0030, 0040/0050 and 0150 of template C 34.02. The notional amount and the CMV are not recognized concepts for SFT. These parameters are not quoted in any article regarding SFT. A repo transaction is composed by only 2 parameters, the security posted and the cash received. We understand that the notional amount (column 0030) is “before any netting and without any adjustments” so the security value posted (or the security nominal) is expected for a repo transaction. The CMV is “gross of any collateral held or posted” and “where positive and negative market values are netted”. We understand that the CMV is the security value posted for a repo transaction. For the exposure pre-crm, it says “ collateralised business shall be handled as uncollateralised, i.e. no margining effects apply”. We understand that it is the security value posted that is expected. The security value posted is “expected” to be reported 3 times in the columns 0030, 0040/0050 and 0150 as we understand the ITS instructions.