Article 39 6

(i)

risk factors used as inputs to determine the fair value constituting the basis for the calculation of the own funds requirements as required by Article 3 of Delegated Regulation (EU) 2023/1577;

(ii)

out of the risk factors included in the list referred in point (i), those risk factors on which the institution applies scenarios of future shocks calculating the expected shortfall risk measure referred to in Article 325bb of Regulation (EU) No 575/2013 or the stress scenario risk measure referred to in Article 325bk of that Regulation;

(i)

the date at which the last available fair value was determined;

(ii)

the given reference date for the calculation of the expected shortfall risk measure or the stress scenario risk measure;

(i)

for positions for which the treatment set out in Article 3(4) of Delegated Regulation (EU) 2023/1577 is not used, the value of risk factors not reflecting foreign exchange risk has not been updated between the two dates referred to in points (b)(i) and (b)(ii);

(ii)

for positions for which the treatment set out in Article 3(4) of Delegated Regulation (EU) 2023/1577 is used, the value of all risk factors is updated between the two dates referred to in points (b)(i) and (b)(ii);

(iii)

the risk factors referred to in point (a)(ii) relate only to foreign exchange risk, regardless of whether the treatment set out in Article 3(4) of Delegated Regulation (EU) 2023/1577 is used.