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Interest Rate Scenario Loss

Calculate the Scenario Net Asset Value Loss, Scenario Impact Ratio, and Scenario Impact instantly.

€
€

Scenario NAV Loss

€18 000 000

1Step 1

Scenario NAV Loss

Scenario NAV Loss=max⁡(0,Base NAV−Stressed NAV)\textit{Scenario NAV Loss} = \max(0, \textit{Base NAV} - \textit{Stressed NAV})
2Step 2

Scenario Impact Ratio

Scenario Impact Ratio=Scenario NAV LossBase NAV\textit{Scenario Impact Ratio} = \frac{\textit{Scenario NAV Loss}}{\textit{Base NAV}}
3Step 3

Scenario Impact

Scenario Impact=Scenario Impact Ratio\textit{Scenario Impact} = \textit{Scenario Impact Ratio}

Understand the Interest Rate Scenario Loss

Overview

This calculator computes the loss in basic own funds for one stressed interest-rate scenario.[1]

Important Notes

  • Loss is floored at zero, so favourable stressed NAV movements do not reduce another scenario's capital charge.
  • The calculator is a building block for Article 165 aggregation and scenario selection.

Sources

  1. Delegated Regulation (EU) 2015/35 - Art. 165 (Interest rate risk: general provisions) - 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.