categories (level 1)

The risk of losses arising from changes in the market value of debt instruments due to a change in the level of interest rates unrelated to any specific attributes of those individual debt instruments.

Relevant legal references for capital treatment: > Pre-Fundamental Review of the Trading Book (FRTB) – internal models General interest Regulation (EU) 575/2013, Part Three, Title IV, Chapter 5 – Article 362 rate risk > Pre-FRTB – Standardised Approach /Post-FRTB – Simplified Standardised Approach Regulation (EU) 575/2013, Part Three, Title IV, Chapter 2, Section 2, Subsection 2 – Articles 339-340 (general risk of debt instruments) (trading book) > Post-FRTB – Alternative Standardised Approach

Regulation (EU) 575/2013, Part Three, Title IV, Chapter 1a, Section 2 – Articles 325d-325k (sensitivity-based method, general interest rate risk) > Post-FRTB – Alternative internal model approach Regulation (EU) 575/2013, Part Three, Title IV, Chapter 1b – Articles 325az-325bp (expected shortfall /Stress Scenario Risk Measure (SSRM) component)

The risk arising from changes in the market value of debt financial instruments due to fluctuations in their credit spread (please refer Credit spread risk to ‘ Definitions ’ , Title 1).

(trading book) - Capital treatment differentiated by type of instrument/portfolio: 1) Credit spread risk of non-securitisations Market risk sub- Legal references/Definitions⁶³

1. Ħarsa ġenerali

1.1 Referenzi

1.2 Rekwiżiti identifikati

1.3 Standards relatati

2. Rekwiżiti identifikati

3. Standards relatati

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