Statement I is incorrect. Positions rated B+ or lower are subject to deductions. A deduction implies that capital equivalent to the unrated (equity) securitization tranche must be held. Deductions are excluded only for estimating capital charge for market risk.

Statement II is correct. Market risk factors used in pricing process of a bank’s position include equity, foreign exchange, commodity, and interest rates volatility risks.

Statement III is incorrect. Regulators require that any relevant market risk factors used for pricing should be included in the calculation of VAR.

Statement IV is incorrect. Market risk capital is the summation of both VAR and stressed VAR.