Article 24 Assessment of general interest rates risk factors

(a)

require the institution to provide a list of all the currencies towards which the institution’s portfolio is sensitive and, for each of those currencies, all the yield curves towards which the institution’s portfolio is sensitive;

(b)

require the institution, for each of the yield curves referred to in point (a), to specify whether a curve is modelled in its entirety directly, or whether it is modelled as a sum of a base curve and a basis curve;

(c)

require the institution to provide a sensitivity analysis of its portfolio towards each of the yield curves referred to in point (a);

(d)

verify, by using the information referred to in points (a), (b) and (c), that the basis risk between any two given yield curves is either implicitly captured by the fact that two yield curves are modelled directly, or by the fact that a basis yield curve representing the difference between those two yield curves is included in the internal-risk measurement model;

(e)

perform, in relation to yield curves where risk factors are points in the curve, an additional assessment in accordance with Article 29 of this Regulation and, where buckets are established by the institution in accordance with Article 5(4) of Commission Delegated Regulation (EU) 2022/2060 (11), verify whether the institution uses at least six risk factors where both of the following conditions are met:

(f)

perform, in relation to curves that have been modelled by means of function parameters as referred to in Article 6 of Delegated Regulation (EU) 2022/2060, an additional assessment of compliance in accordance with Article 29 of this Regulation;

(g)

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