Question ID
2024_7074
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Market risk
Article
104
Paragraph
1
Subparagraph
h
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Not applicable
Article/Paragraph
Not applicable
Type of submitter
Consultancy firm
Subject matter
Classification of Repo Transaction
Question

How can internal repo transactions be managed in the calculation of the regulatory capital requirement in the A-IMA trading desk? Can these transactions be carved out from the scope of regulatory capital requirement of the A-IMA trading desk? Does the regulation prescribe that the funding in repos should be allocated to the trading/banking book accordingly to the funding strategy purpose? (if the funding is for banking book positions, the repos are non-trading instruments, if the funding is for trading book strategy the repos are trading book instruments). Is it possible to have different prudential classification of internal repos and external repo transactions on the market?

Background on the question

An institution has a treasury department that provides funding to banking and trading book positions, netting short and long positions or managing maturity mismatching on the market without distinguishing prudential classification of underlying assets for economic reasons. This desk transfers the liquidity bought on the market to the A-IMA trading desks using internal repos, which are excluded from the prudential trading book as funding instruments, according to Art. 104 par.1 (h) of CRR 2 and as detailed in Basel Committee framework (MAR 25.9).

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.

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Status
Rejected question