Article 27 1

(a)

require the institution to provide a list of all the currency pairs towards which the institution’s portfolio is sensitive and, for each of those currency pairs, to clarify whether that currency pair is subject to the spot exchange rate only, or other risk factors, including implied volatilities;

(b)

require the institution to provide a sensitivity analysis of its portfolio towards each currency pair referred to in point (a);

(c)

based on the information referred to in points (a) and (b), verify whether the basis risk between any couple of currency pairs is implicitly captured by either of the following:

(d)

assess the extent to which the institution considers the risk linked to unpegging events for non-free floating currency pairs, and where such risk is material, how it is monitored;

(e)

assess whether the risk in changes in foreign-exchange curves is duly captured as required by Article 29 of this Regulation;

(f)

assess whether vega risk related to foreign-exchange risk is duly captured as required by Article 30 of this Regulation.