CMS Sept 2022

Internal Use Only

Ramp (Prolonged) Scenarios

• More likely scenario

• All tenor points on the Yield Curve move in parallel, except the increase is spread over the time horizon

15

15

Internal Use Only

Non-Parallel Scenarios

• Most likely scenario

• Yield Curve is steepened and flattened by moving short-term or long-term rates

16

16

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