Column “ADJUSTMENT TO THE RISK WEIGHTED EXPOSURE AMOUNT DUE TO MA-TURITY MISMATCHES” to be reported only from originator institutions.C 12.00 – Credit Risk: Securitisation - Standardised Approach to Own Funds Requirements (CR SEC SA)

Why is the column “ADJUSTMENT TO THE RISK WEIGHTED EXPOSURE AMOUNT DUE TO MA-TURITY MISMATCHES” not shown greyed for the rows concerning Investor and Sponsor?

Determination of “Number of Obligors” (column 300).C 08.01 - Credit and counterparty credit risks and free deliveries: IRB Approach to Own funds Requirements (CR IRB 1)

The “Number of Obligors” has to be determined according to which method(s)?

COREP CR IRB - Calculation of column 10

For calculating the average PD on column 010, on a given exposure, should we consider the PD originally assigned to it or should we consider the PD after the regulatory floor is applied? (floor value being for most cases 0,03%)

Change in Fair Value

Regarding FinRep table 14 (analysis of financial intruments at fair value) and related guidance in annex V part 2 para 86 - Do columns 40 & 50 [ Changes in fair value for the period: Level 2 & Level 3] : (a) relate only to transactions that continue to exist at the reporting date or (b) do they include movements for all transactions during the reporting period?

Inconsistency in validation rules v0532_m.

Between v0532_m and v0533_m. The validation rule is different but they impact the same range of rows (040-090). We believe this range should be removed from rule v0532_m.

Reporting of investments in subsidiaries that are not included in the prudential scope consolidation.

Annex V states that dividend income from subsidiaries, associates and joint ventures which are outside the scope of consolidation shall be reported within "Share of profit or (-) loss of investments in subsidiaries, joint ventures and associates". Based on this statement we need clarification regarding the line in which the investments in subsidiaries that are not included in the prudential scope of consolidated should be reported in the balance sheet. Annex V p1.12 states with regard to accounting portfolios that "these aggregations do not include investments in subsidiaries, joint ventures and associates [...]." Example: A subsidiary is not included in the prudential scope of consolidation and should therefore be included in the IAS category "Available for sale". Should the carrying amount of this investment be reported in line item F 01.01, r140, c010 or in line item F 01.01, r260, c010? If it needs to be included in line item F 01.01, r260, c010: How should those investments be measured according to IFRS at the reporting date (at cost vs. at fair value)?

Cash Inflows excluded from inflow cap

Article 425(1) reads: “Capped inflows shall be the liquidity inflows limited to 75% of liquidity outflows. Institutions may exempt liquidity inflows from deposits placed with other institutions and qualifying for the treatments set out in Article 113(6) or (7) from this limit. Institutions may exempt liquidity inflows from monies due from borrowers and bond investors related to mortgage lending funded by bonds eligible for the treatment set out in Article 129(4), (5) or (6) or by bonds as referred to in Article 52(4) of Directive 2009/65/EC from this limit…” Is the interpretation correct that mortgages that are used as a cover pool for credit enhancing a covered bonds transaction can be excluded from the inflow cap? In contrast to the original Basel III papers it is not possible to identify the definition of the general provision, capping inflows at 75% of cash outflows. Is the inflow cap applicable to every item in the template or at the calculation of the summed amounts?

Stock financing

Could you please clarify if the positions that are purely ‘stock financing’, as defined in Article 3(1)(l) of Directive 2006/49/EC, but not defined in Regulation (EU) No. 575/2013 (CRR), may be excluded from the calculation of own funds requirements for commodities risk under Part three, Title IV, Chapter 4 of the CRR, as was allowed under Directive 2006/49/EC.

Exclusion of eligible CVA hedges from the specific risk capital requirements (market risk)

When an institution enters into a transaction to hedge the credit valuation adjustment ("CVA") risk on a portfolio of trades with a non-financial counterparty ("NFC") own funds requirements for specific risk, which falls within the scope of the exemption provided under article 382.4.a (i.e., a NFC that is under the EMIR thresholds), can the institution take advantage of the provision of article 386.3 whereby the hedge is exempt from own funds requirements for specific risk?