(a)

the tests are meaningful, reasonably conservative and capable of identifying the effects on the institution’s total capital requirements for credit risk under severe, but plausible, recession scenarios;

(b)

the tests cover at least all material IRB portfolios;

(c)

the methods are consistent to the extent appropriate with methods used by the institution for the purpose of internal capital allocation stress tests;

(d)

the documentation of the methodology of stress tests including internal and external data as well as expert judgment input is detailed enough to allow third parties to understand the rational for the chosen scenarios and to replicate the stress test.

(a)

an identification of the scenarios including severe, but plausible, recession scenarios and, the adjustment in accordance with Article 153(3) of Regulation (EU) No 575/2013, of the scenario envisaging deterioration of credit quality of protection providers;

(b)

an assessment of the impact of identified scenarios on the institution’s risk parameters, rating migration, expected losses and calculation of own funds requirements for credit risk;

(c)

an assessment of the adequacy of own funds requirements.

(a)

the methodology for identifying a group of economic drivers;

(b)

the methodology for building stress scenarios, including their severity, duration and likelihood of occurrence;

(c)

the methodology for projecting the impact of each scenario on the relevant risk parameters.