Yubico strongly recommends making a backup copy of all production objects residing on your production devices, particularly once the HGS signing and encryption keys have been generated on the YubiHSM 2. If there is a hardware failure of the production device, having a backup ensures that you can resume operations quickly. The backup process will result in two identical YubiHSM 2 devices with the same number of objects, keys, labels, etc.
Backup the YubiHSM 2 according to the instructions in "Back Up and Restore Key Material" in the YubiHSM 2 Windows Deployment Guide.