Population of Current Market Values for SFTs which are subject to exposure calculations under Chapter 4

The guidance for c0040 and c0050 of template C 34.02 specifies that these should be populated with the 'sum of the current market values (CMV) of all the netting sets with positive [or negative respectively] CMV as defined in Article 272(12) CRR'. Article 272(12) CRR then states 'Current Market Value‧ (hereinafter referred to as 'CMV') for the purposes of Section 5 refers to the net market value of the portfolio of transactions within a netting set, where both positive and negative market values are used in computing the CMV'. It is unclear how to populate these rows for SFTs when there is ineligible collateral under Chapter 4 included within the value of an otherwise legally enforceable netting agreement.

In this context it is therefore important how we define a "netting set" - per Article 272(4) this is specified as a group of transactions covered by a legally enforceable bilateral netting agreement recognised under Section 7 and Chapter 4. Broadly for SFTs covered by a netting agreement which is eligible and legally enforceable etc. but which also contains collateral not eligible for recognition under the exposure calculation approach to SFTs it is unclear whether or not this ineligible collateral should be included or not as it still forms part of the actual market value covered by the netting agreement but isnt actually then included in exposure calculations. For example for collateral for which Article 207(2) results in the collateral being ineligible due to the presence of material positive correlation should this value be populated in these columns or not in either of the following ways: 1) included within a single net value for the overall netting set on the grounds that it does form part of the single actual current market value of the netting agreement 2) included but on a gross basis from the rest of the netting set as it isn't practically being net with the other trades due to its ineligibilty 3) excluded because it does not get included in the exposure calculations The same query applies for any ineligible collateral.