Capital Markets School - October 2023

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