Question ID:
Legal Act:
Regulation (EU) No 575/2013 (CRR)
Credit risk
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Not applicable
Disclose name of institution / entity:
Type of submitter:
Credit institution
Subject Matter:
Exposure Value in repurchase transaction

Under the accounting framework (IFRS) a repurchase transaction is accounted for as an off balance sheet commitment (encumbrance) for the debt securities given (or 'sold') and a liability for the debt towards the counterparty (representing the future 'repurchase' of the debt securities). With regards to such a transaction we have the following three questions, to confirm that our understanding is correct:

A/ Is it correct that for the repurchase operation the final exposure value is to be calculated using the following elements:

     E = the (dirty) market value of the debt securities given

     C = the (dirty) cash borrowed in respect of the repurchase operation

B/ Is this final exposure value E* to be presented as an counterparty credit risk on balance sheet exposure?

C/ Does the debt securities itself also still have to be included as seperate exposures (with their respective risk weighted assets) (or does the calculated exposure value for the repurchase operation replace the direct exposure on the debt securities)?

Background on the question:

The institution is planning the first repurchase and reverse repurchase transactions and seeks clarrification regarding the CRR treatment.

Date of submission:
Published as Rejected Q&A
Rationale for rejection:

This question has been rejected because the question is not sufficiently clear.

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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Rejected question