categories (level 1)

2) Credit spread risk of securitisations (outside the alternative correlation trading portfolio (ACTP)) 3) Credit spread risk of securitisations included in the ACTP

• - Also covers sovereign risk (i.e. risk of losses due to decreasing market values of sovereign exposures)

Relevant legal references for capital treatment > Pre-FRTB – internal models Regulation (EU) 575/2013, Part Three, Title IV, Chapter 5 CRR – Article 362 (Value at Risk (VaR) - component; and additional ACTP component ( ‘ comprehensive risk measure ’ ) for positions in the ACTP) > Pre-FRTB – Standardised Approach /Post-FRTB - Simplified Standardised Approach Regulation (EU) 575/2013, Part Three, Title IV, Chapter 2, Section 2, Subsection 1 – Articles 335-338 (specific risk of debt instruments) > Post-FRTB – Alternative Standardised Approach Regulation (EU) 575/2013, Part Three, Title IV, Chapter 1a, Section 2 – Articles 325d-325k (sensitivity-based method, credit spread risk (CSR) non-securitisation, CSR securitisation non-ACTP, CSR securitisation-ACTP) > Post-FRTB – Alternative internal model approach Regulation (EU) 575/2013, Part Three, Title IV, Chapter 1b – Articles 325az-325bp (expected shortfall/SSRM component)

The risk of a change in the market value of an instrument due to a broad equity-market movement or due to factors related to the issuer of the instrument or, in the case of a derivative, the issuer of the underlying instrument.

Equity risk Relevant legal references for capital treatment > Pre-FRTB – internal models (trading book) Regulation (EU) 575/2013, Part Three, Title IV, Chapter 5 – Article 362 CRR > Pre-FRTB – Standardised Approach /Post-FRTB – Simplified Standardised Approach Regulation (EU) 575/2013, Part Three, Title IV, Chapter 2, Section 3 – Articles 341-344 (general risk of equity instruments + specific risk of equity instruments) Market risk sub- Legal references/Definitions⁶³

1. Przegląd

1.1 Odwołania

1.2 Zidentyfikowane wymagania

1.3 Powiązane normy

2. Zidentyfikowane wymagania

3. Powiązane normy

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