categories (level 1)

> Post-FRTB – Alternative internal model approach Regulation (EU) 575/2013, Part Three, Title IV, Chapter 1b – Articles 325az-325bp (default risk charge)

Regulation (EU) 575/2013, Article 4(1), point (142) – includes, among others, translation risk and structural foreign exchange risk

Relevant legal references for capital treatment I) Exemption for Structural Foreign Exchange positions (S-FX positions)

• - Regulation (EU) 575/2013, Article 104c
• - Guidelines on S-FX (EBA/GL/2020/09)

Foreign exchange risk II) Treatment of positions other than S-FX positions > Pre-FRTB – internal models (trading and Regulation (EU) 575/2013, Part Three, Title IV, Chapter 5 – Articles 362-377 banking books) > Pre-FRTB – Standardised Approach /Post-FRTB – Simplified Standardised Approach

Regulation (EU) 575/2013, Part Three, Title IV, Chapter 3 – Articles 351-354 > Post-FRTB – Alternative Standardised Approach Regulation (EU) 575/2013, Part Three, Title IV, Chapter 1a, Section 2 – Articles 325d-325k (sensitivity-based method, risk class foreign exchange risk) > Post-FRTB – Alternative internal model approach Regulation (EU) 575/2013, Part Three, Title IV, Chapter 1b Articles 325az-325bp (expected shortfall/SSRM component)

Commodities risk Regulation (EU) 575/2013, Article 4(1), point (143)

(trading and Relevant legal references for capital treatment banking books) > Pre-FRTB – internal models Market risk sub- Legal references/Definitions⁶³

1. Oversigt

1.1 Referencer

1.2 Identificerede krav

1.3 Relaterede standarder

2. Identificerede krav

3. Relaterede standarder

• EBA -

  EN: Guidelines and other publications of the European Banking Authority (EBA), https://www.eba.europa.eu/. © European Banking Authority. Reproduction is authorised provided the source is acknowledged (EBA legal notice). Divided into sections and converted into the GRCA format, the wording unchanged. Only the versions published by the EBA are authoritative.

  DE: Leitlinien und weitere Veröffentlichungen der Europäischen Bankenaufsichtsbehörde (EBA), https://www.eba.europa.eu/. © European Banking Authority. Wiedergabe mit Quellenangabe gestattet (Rechtlicher Hinweis der EBA). In Abschnitte aufgeteilt und in das GRCA-Format umgewandelt, der Wortlaut unverändert. Maßgeblich sind allein die von der EBA veröffentlichten Fassungen.