4A.1 Article 286(4) of the CRR states that firms using the IMM must have in place a formal process through which senior management shall be aware of the limitations and assumptions of the model and the impact those limitations and assumptions can have on the reliability of the model output.

4A.2 In complying with these requirements the PRA expects that all firms should be able to make readily available a single, comprehensive inventory of limitations and assumptions that may affect the output of the IMM to senior management, the PRA and other stakeholders. This should include all limitations and assumptions identified during the validation of the individual models which make up the IMM framework, as well as overarching limitations and assumptions which affect the calculation of Effective Expected Positive Exposure (EEPE) under both the current and stress period calibration. The inventory should include, but is not limited to, assumptions and limitations associated with the following:

- risk factors used by the business in the pricing of transactions included in the scope of the IMM, whose variability is not captured in the forecasting distribution used to calculate the exposure;

- the number of paths used, and the granularity of the time grid on which those paths are realised, should the firm use Monte Carlo simulation to estimate the exposure;

- any fixed parameters or constants determined by expert judgement which are used inthe models to generate the forecast distribution under either the current or stressed calibration;