219. The assessment of market risk concerns those on- and off-balance-sheet positions subject to losses arising from movements in market prices. Competent authorities should consider the following sub-categories as a minimum when assessing market risk:
a. position risk, further distinguished as general and specific risk;
b. foreign-exchange risk;
c. commodities risk; and
d. CVA risk.
220. As a minimum, the assessment should cover risks arising from interest rate related instruments and equity and equity-related instruments in the regulatory trading book, as well as foreign exchange positions and commodities risk positions assigned to both in the trading and banking book.
221. In addition, the assessment should consider the following sub-categories of market risk in relation to the banking book:
a. credit spread risk arising from positions measured at fair value; and
b. risk arising from equity exposures.
222. IRRBB is excluded from the scope of the market-risk assessment as it is cove
…