The FRTB specification gives guidelines on the quality and frequency of historic data that must be available for a risk factor to be included in the IMA expected shortfall calculation. Risk factors that do not meet this standard are called "non-modellable" risk factors (NMRF).

NMRFs are excluded from expected shortfall by holding their current value constant inside the simulation. However, these risk factors must still contribute to capital. The approach taken is to run a stress test that gives a change in value that is estimated at the same level that a 97.5% expected shortfall simulation would have given. In fact, two stress tests are run (an up and down shift) and the capital for the NMRF is taken from the result that gives the worst loss of the two.

To cater for NMRF the user must estimate the market rate shifts for each NMRF and include a "MarketStress" task in the workflow to run these stress tests. The task becomes an input to the "Total Capital" task where the results are aggregated into a value called the "Stressed Capital Add-on" (SES).