Article 23 1

(i)

whether there are currencies for which general interest rate risk, including inflation risk or cross-currency basis risk, are not modelled;

(ii)

whether there are issuer’s credit spreads that are not modelled;

(iii)

whether there are equity spot prices and equity repo rates that are not modelled;

(iv)

whether there are commodity spot prices that are not modelled;

(v)

whether there are spot exchange rates that are not modelled;

(vi)

whether there are cases where the implied volatility in instruments with optionality is not modelled;

(i)

provides an appropriate rationale for not including those risk factors in the internal risk-measurement model and, where such exclusion is due to a lack of representative prices for those risk factors, the rationale for not capturing those risk factors in the calculation of the stress scenario risk measure referred to in Article 325bk of Regulation (EU) No 575/2013, and documents such a rationale;

(ii)

calculates and monitors the impact on the own funds requirements resulting from excluding those risk factors from the internal risk-measurement model.