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What does allocation around private credit funds look like? Is there any detail on treatment of asset backed finance funds? Assets like forward flow agreements, consumer loans, royalties, etc. Since securitizations are treated unfavourably, what is a way to alleviate capital charges?

Plain Vanilla bond with call option (early redemption option) such as Cash call, Ordinary call or Make whole call considered as special feature ?

How should the bond with call options be classified in CIC ? Should the bond with call option be classified as CIC 21 ? Or Should the bond with call…

My question is relating to reporting of collateral held and pledged as per S.03.01. As per question ID 2730 my understanding is that collateral pledged should be reported in C0240 Guarantees and Commitments and collateral held should be reported in C0290 Indirect Exposures for significant counterpar…

Can you please advise how to treat part placed XOL contracts on form 30.03.
The guidance states:
C0210 – The amount that is stated as Limit in the reinsurance treaty.
C0230 – The amount that is equal to the Limit minus the Priority.
However, for a contract part placed over multiple contracts fo…

Article 173 of Delegated Regulation (EU) 2015/35, as amended by Delegated Regulation (EU) 2026/269, introduces a preferential treatment for equity investments made under qualifying legislative programmes, whereby the applicable risk factor is reduced in proportion to the quantified reduction in cred…

How can the forward rates f_20,25, f_20,30, f_20,40 and f_20,50 be derived from par swap rates with maturities 1, 2,3,…,10,12,15,20,25,30,40,50? the same assumption (constant 1-year forward rates) should be used as for f_15,20?

These forward rates are required for the calculation of the Last Liq…

I have a few questions regarding the interest rate risk sub-module.
1. In case of money market instruments where the company has borrowed from an institution, should it be stressed under assets with negative market value or should it be stressed under liabilities?My client has considered it under a…

We use the services of a rating agention that is registered in ECAI.
That agention doesn't issue an offical rating for a bank in which we have some deposits, but provides a tool that uses the same financial data that is used for ratings calculation to get an unofficial rating. This unofficial rati…

1. Can you please clarify how 'cash in hand' should be stressed under Market risk? Is it correct to assume that it should be stressed under Equity Type 2 given that no other risk applies? If so, should it also be stressed under Concentration risk?
2. Can you also confirm that the CIC code for cash …