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Interest Rate Down-Shocked Rate

Calculate the Down-Shocked Rate instantly.

Down-Shocked Rate

0.02

1Step 1

Proportional Down-Shocked Rate

Proportional Down-Shocked Rate=Base Risk-Free Rate×1+Downward Shock Factor\textit{Proportional Down-Shocked Rate} = \textit{Base Risk-Free Rate} \times 1 + \textit{Downward Shock Factor}
2Step 2

Base Rate Non-Negative Flag (0/1)

Base Rate Non-Negative Flag (0/1)=gte⁡(Base Risk-Free Rate,0)\textit{Base Rate Non-Negative Flag (0/1)} = \operatorname{gte}\left(\textit{Base Risk-Free Rate}, 0\right)
3Step 3

Base Rate Negative Flag (0/1)

Base Rate Negative Flag (0/1)=max⁡(0,1−Base Rate Non-Negative Flag (0/1))\textit{Base Rate Negative Flag (0/1)} = \max(0, 1 - \textit{Base Rate Non-Negative Flag (0/1)})
4Step 4

Rate After Negative-Rate Rule

Rate After Negative-Rate Rule=Base Rate Negative Flag (0/1)×Base Risk-Free Rate+Base Rate Non-Negative Flag (0/1)×Proportional Down-Shocked Rate\textit{Rate After Negative-Rate Rule} = \textit{Base Rate Negative Flag (0/1)} \times \textit{Base Risk-Free Rate} + \textit{Base Rate Non-Negative Flag (0/1)} \times \textit{Proportional Down-Shocked Rate}
5Step 5

Term Floor Applied Flag (0/1)

Term Floor Applied Flag (0/1)=gte⁡(Term-Dependent Rate Floor,Rate After Negative-Rate Rule)\textit{Term Floor Applied Flag (0/1)} = \operatorname{gte}\left(\textit{Term-Dependent Rate Floor}, \textit{Rate After Negative-Rate Rule}\right)
6Step 6

Down-Shocked Rate

Down-Shocked Rate=max⁡(Rate After Negative-Rate Rule,Term-Dependent Rate Floor)\textit{Down-Shocked Rate} = \max(\textit{Rate After Negative-Rate Rule}, \textit{Term-Dependent Rate Floor})
7Step 7

Total Downward Shift

Total Downward Shift=Down-Shocked Rate−Base Risk-Free Rate\textit{Total Downward Shift} = \textit{Down-Shocked Rate} - \textit{Base Risk-Free Rate}
8Step 8

Total Downward Shift (bps)

Total Downward Shift (bps)=Total Downward Shift×10000\textit{Total Downward Shift (bps)} = \textit{Total Downward Shift} \times 10000

Understand the Interest Rate Down-Shocked Rate

Overview

This calculator derives one downward stressed risk-free rate from a base rate, a signed downward shock factor, and an editable term-dependent floor.[1]

Important Notes

  • The term-dependent floor is editable so the same atomistic page can support low-rate sensitivity and the incoming recalibrated floor treatment.
  • The output is a curve-point building block; a compliant full engine still needs every relevant maturity and currency.

Sources

  1. Delegated Regulation (EU) 2015/35 - Art. 167 (Decrease in the term structure of interest rates) - EIOPA

Default values are illustrative sample inputs for navigation, training, and QA. Replace them with controlled data before using the result in capital analysis, governance, or reporting decisions.