Article 40 2

(a)

identify products for which competent authorities want to test the materiality of the order terms of a Taylor series approximation, and the appropriateness of the sensitivity-based approach under severe shock;

(b)

identify a business day in the stress period where the returns observed for the risk factors in those products were particularly high, where positive, or particularly low, where negative;

(c)

require the institution to calculate the hypothetical and theoretical changes in the values of those products in accordance with Delegated Regulation (EU) 2022/2059, under the scenario identified by the returns on the business day identified in accordance with point (b);

(d)

based on the results of the calculation referred to in point (c), assess whether the sensitivity-based approach leads to appropriate results.