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/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. Panoramica

1.1 Riferimenti

1.2 Requisiti identificati

1.3 Standard correlati

2. Requisiti identificati

3. Standard correlati

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