Maturity floor for SFT transactions under a master netting agreement that does not fulfill the enforceability criteria of CRR Article 206.

Article 162(2)(d) CRR is not applicable to a master netting agreement for repurchase transactions or securities or commodities lending or borrowing transactions which does not meet at least one of the following two conditions: (i) all the requirements in Article 206 of the CRR if these transactions are not in scope of the Internal Model Method (IMM) for counterparty credit risk, or (ii) all the requirements in Articles 295 to 297 of the CRR if these transactions are in scope of the IMM. Where institutions use master netting agreements in relation to repurchase transactions or securities or commodities lending or borrowing transactions, Article 166(2) of the CRR requires calculating the IRB exposure value in accordance with Chapter 4 or 6 of Part Three Title 2 of the CRR. Under Chapter 4, Article 193(3) of the CRR requires that the provisions in Sections 2 and 3 are met. As consequence, in particular all the requirements according to Article 206 of the CRR must be met for calculating the IRB exposure value in accordance with Chapter 4 for repurchase transactions or securities or commodities lending or borrowing transactions which are not in scope of the IMM. Under Chapter 6, Articles 295 to 297 of the CRR specify the requirements that must be met for recognising a netting agreement for the respective transactions if their exposures are calculated using the IMM. If neither all the requirements in Article 206 of the CRR nor all the requirements in Articles 295 to 297 of the CRR are met, the master netting agreement does not fulfil the requirements in Article 166(2) of the CRR for calculating the IRB exposure value. As a consequence, such a master netting agreement cannot be recognised under the IRB approach. Therefore, in particular Article 162(2)(d) of the CRR is not applicable for such master netting agreements