(a)

require the institution to provide a list of all issuers’ credit spreads curves and credit indices towards which the institution’s portfolio is sensitive, and the risk factors used to model the associated risk;

(b)

require the institution to provide a sensitivity analysis of its portfolio towards each of the issuers’ credit spreads curves and credit indices referred to in point (a);

(c)

verify whether, where the risk in an issuer credit spread is modelled as a sum of a systematic risk factor as referred to in Article 3(3) of Delegated Regulation (EU) 2022/2060 and an idiosyncratic risk factor, the volatility generated by shocking those factors reflects the volatility observed for that issuer credit spread;

(d)

verify whether the basis risk between issuers is captured by either modelling the issuers’ credit spreads directly or by means of a basis risk factor, and whether the basis between different positions referencing to the same issuer is monitored and, when material, included in the internal risk-measurement model;

(e)

assess whether the risk in changes in credit spread curves is duly captured as required by Article 29 of this Regulation;

(f)

assess whether vega risk related to credit spread risk is duly captured as required by Article 30 of this Regulation.