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.