Capital Markets School - October 2023

Internal Use Only

Scenarios • Typically Driven by Guidance

 Shocks  Ramps  Non-Parallel  +/- 100 through 400 basis points

• Time horizons • Forecasting expected movements in the Yield Curve • Advanced Modeling Incorporates Forward Rate Expectations

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Internal Use Only

Shock Scenarios

• Most Impactful, Least Likely

• All tenor points along the Yield Curve move simultaneously  Parallel

• Reveals Exposures in the greatest stress situations

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