Where collateral provided to the institution under a repurchase transaction does not meet the eligibility requirements according to Articles 206 and 207 of Regulation (EU) No 575/2013 (CRR), the exposure value of the repurchase transaction according to Article 429(9) is to be determined according to Article 222 whereby the non-eligible collateral provided to the institution cannot be taken into account.
Article 429(9) of CRR requires that the effects of a master netting agreement covering repurchase transactions are taken into account in accordance with Article 206 of CRR. Article 206 requires in particular that the collateral provided under those agreements meets all the requirements laid down in Article 207(2) to (4). A master netting agreement is therefore not eligible if collateral provided under this master netting agreement does not meet all of these requirements. Article 220 is only applicable to eligible master netting agreements [cf. "When institutions calculate the 'fully adjusted exposure value' (E*) for the exposures subject to an eligible master netting agreement"].
Consequently, Article 429(9) requires the exposure value of a repurchase transaction to be determined according to Article 222 of CRR where the repurchase transaction is not covered by an eligible master netting agreement. Since recognition of collateral according to Article 222(3) is limited to eligible collateral, collateral which does not meet the eligibility requirements according to Article 207 of CRR cannot be taken into account in the determination of the exposure value of a repurchase transaction.