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/ Risk Appetite Statement
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5 active appetite exceptions  ·  3 metrics RED  ·  board notification required  ·  as at
Board-approved appetite framework  ·  Board Risk Committee  ·  Approved 15 Oct 2024  ·  Next review 15 Oct 2025 Reporting period:
Appetite metrics — current status click any metric for detail
Active appetite exceptions 5
MetricCurrentLimitBreach sinceConsecutive periodsAction
Appetite framework: Metrics are classified by appetite level — Averse (zero tolerance), Minimal (rare exceptions only), Cautious (acceptable with controls), Open (accepted within defined limits). RED status on any Averse or Minimal metric requires immediate board notification. RED for two consecutive periods on any metric triggers mandatory management response within 5 business days.
Data sources: KI Dashboard (primary), OpRisk Event Register (loss data), Issue Management (open exceptions). Thresholds set by Board Risk Committee annually.
12-month appetite utilisation — all metrics last 12 reporting periods
Historical exceptions log
MetricLast breachedDurationResolutionTrend
Gross OpRisk LossApr 2024Ongoing — 12 monthsPending — remediation plan in placeDeteriorating
Counterparty ExposureJun 2024Ongoing — 9 monthsPending — portfolio rebalancing underwayDeteriorating
VaR UtilisationSep 2024Ongoing — 6 monthsPending — limit review submitted to BRCDeteriorating
Settlement Failure RateJul 2024Ongoing — 8 monthsPending — OMS upgrade in progressDeteriorating
Models Overdue ValidationMay 2024Ongoing — 10 monthsPending — additional model validators recruitedDeteriorating
High-Risk Customer ReviewsJun 2024Ongoing — 9 monthsPending — EDD team capacity increase approvedDeteriorating
Compliance BreachesMar 2024FCA fine Oct 2024, ongoing monitoringSurveillance enhanced — monitoring closelyStable
Key Person DependenciesFeb 2024Ongoing — stabilised at 8 rolesCross-training programme launched Q1 2025Stable

Projected appetite utilisation under three named stress scenarios. Scenarios are drawn from the risk scenario library (RSKMAP) and internal stress testing assumptions. Projections are based on current trajectory, control effectiveness, and scenario-specific assumptions. This view is indicative — actual outcomes will depend on management actions taken.

Base scenario — current trajectory (12-month projection)
Early warning indicators — appetite breach within 90 days (base scenario)
Gross OpRisk Loss: At current monthly deterioration rate (+18%), will reach RED limit within 60 days. Current trajectory does not reflect planned control improvements.
High-Risk Customer Review Overdue: At current growth rate, will reach 65 customers within 90 days — 4× the RED threshold. EDD team capacity increase (approved Q1 2025) must be delivered on time.
Models Overdue Validation: Pipeline of 6 models scheduled for validation in Q2 2025 — if delays occur, will breach 25 models within 90 days.
VaR Utilisation: Macro volatility increasing. If current correlation regime persists, VaR utilisation will reach $160M (23% above limit) within 90 days.
Sensitivity analysis — which single KI deterioration most rapidly exhausts headroom?
MetricCurrent headroomSingle-period deterioration to REDTrajectoryRisk
High-Risk Customer Reviews−200% (already RED)N/A — already breached+5 customers/monthCRITICAL
Gross OpRisk Loss−68% (already RED)N/A — already breached+18%/monthCRITICAL
Models Overdue Validation−80% (already RED)N/A — already breached+1.2/monthCRITICAL
VaR Utilisation+1% to RED$2M increase$3M/monthHIGH
Settlement Failure Rate+29% to RED0.7pp increase+0.2pp/monthHIGH
Key Person Dependencies+33% to RED2 additional rolesStable at 8MEDIUM
Compliance Breaches+33% to RED1 additional breachStable at 3MEDIUM
Counterparty Exposure+14% to RED$0.5B increase+$0.1B/monthHIGH
Scenario definitions:
Base — current trajectory maintained with planned control improvements delivering on schedule. No material macro deterioration.
Adverse — 30% increase in market volatility; 20% increase in operational event frequency; one additional regulatory finding; credit spreads widen 150bps.
Severe — simultaneous market stress (VIX >40), one major operational event (>USD 5M loss), loss of key person in two critical roles, and third-party system outage >24 hours.
Disclaimer: Forward projections are model-based estimates. Actual outcomes depend on management actions, market conditions, and events that cannot be predicted with certainty.
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