Prudential Classification of Repo Transaction

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?

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).