Underlying

Market risk rates

Concentration limits

Stress collateral scenarios

MR1

MR2

MR3

LK1

LK2

Scen_UP

Scen_DOWN

GLD

8%

14%

21%

1 000 000

5 000 000

10%

10%

Underlying

Tenor, T(m)

IR risk scenarios, % per annum

GLD

1

15%

30

10%

90

7%

180

3%

270

3%

365

3%

1095

3%