Fixed Income Stress Test

1. Mode

Standard Scenarios

Each scenario is independent, starting from today's index data. Use for comparing different yield curve outcomes side by side.

Phased Scenarios

Each phase builds off the previous one. YTW is forecast via regression for eligible asset classes. Use for multi-year path analysis.

Sensitivity Tables

Parallel shift sweep across treasury asset classes. Shows 1-year return at each rate level using today's curve as the base.

2. Region

Currency:

Override current curve — enter a custom starting curve instead of month-end values

⚠ When the curve is overridden, you must manually enter index data for every selected asset class.

Nominal Curve (%)

Real Curve (%) — required for linkers

3. Asset Classes

Select a region above to load asset classes.

Select a region to load the curve.

Fixed Income Stress Test

1. Mode

2. Region

Nominal Curve (%)

Real Curve (%) — required for linkers

3. Asset Classes

Add Manual Asset Class

3b. Yield Curve

4. Sensitivity Settings

Asset Classes

Nominal Curve Shift

Linker Indices

Inflation Assumptions (Base) ?Baseline inflation assumptions are needed to calculate the real yield curve. Only the Year 1 assumption will be stressed in the sensitivity tables.

Year 1 Inflation Shift

Credit Indices & OAS Shift Settings

Results

Return Summary

Return Ranges — 95% Prediction Interval

1. Mode

2. Region

Nominal Curve (%)

Real Curve (%) — required for linkers

3. Asset Classes

Add Manual Asset Class

3b. Yield Curve

4. Scenarios

4. Sensitivity Settings

Asset Classes

Nominal Curve Shift

Linker Indices

Inflation Assumptions (Base) ?Baseline inflation assumptions are needed to calculate the real yield curve. Only the Year 1 assumption will be stressed in the sensitivity tables.

Year 1 Inflation Shift

Credit Indices & OAS Shift Settings

Results

Return Summary

Return Ranges — 95% Prediction Interval