Days 1 7 14 30 90 180 360 720 PC1 3 2 1.75 1.5 1 0.9 0.8 0.7 PC2 4 3 2 1 0 -0.5 -0.75 -0.9 The interest rate risk is comprised of 8 market simulations by moving the yield curve proportionally to PC1 and PC2. For instance, scenarios include moving the existing yield curve by +/– 5% × PC1, +/– 2.5% × PC1, +/– 3% × PC2, +/– 2% × PC1.