- Question ID
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2024_7071
- Legal act
- Regulation (EU) No 575/2013 (CRR)
- Topic
- Market risk
- Article
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104
- Paragraph
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1
- COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
- Not applicable
- Article/Paragraph
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Not applicable
- Type of submitter
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Consultancy firm
- Subject matter
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Prudential Classification of Repo Transaction
- Question
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What treatment for market risk capital requirement should be adopted for repos included in an A-IMA trading desk where those repos are used for funding of trading positions and valued at accrual and thus excluded from the regulatory trading book, following Basel Committee’s provision?
- Background on the question
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According to Art. 104 par.1 of CRR2, institutions shall have in place clearly defined policies and procedures for determining which positions shall be included in the prudential trading book. With regards to repo transaction the Art 104 par. 2 (h) states that trading-related securities financing transactions should be assigned to the trading book. However, there is no clear definition of securities financing transactions with trading intent in the EU regulation. While in Basel committee framework, MAR 25.9 clarifies that repo-style transactions that are entered for liquidity management and valued at accrual for accounting purposes are not considered trading-related repo-style transactions to be included in the prudential trading book. Article 325az par.2 prescribes that all positions in an A-IMA trading desk should be included in the capital requirements calculation, not clearly allowing the possibility to have positions not included in the capital requirements (i.e. non-trading book positions).
- Submission date
- Rejected publishing date
-
- Rationale for rejection
-
This question has been rejected because the question is not sufficiently clear, or has not sufficiently identified a provision of a legal framework covered by this tool that creates uncertainty and for which an explanation is merited in terms or practical implementation or application.
The Single Rule Book Q&A tool has been established to provide explanations and non-binding interpretations on questions relating to the practical application or implementation of the provisions of legislative acts referred to in Article 1(2) of the EBA’s founding Regulation, as well as associated delegated and implementing acts, and guidelines and recommendations, adopted under these legislative acts.
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- Status
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Rejected question