Interest Rate Risk | Actuably

Year	Base Rate (%)	Asset Cash Flow	Liability Cash Flow
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NAV Summary

NAV Base

€52 102 459

Discounted under the base curve

NAV Up

€48 888 036

After the upward shock

NAV Down

€54 539 345

After the downward shock

Shock Loss Summary

Loss Up

€3 214 422

Base NAV less Up NAV

Loss Down

€-2 436 886

Base NAV less Down NAV

Final SCR

€3 214 422

Max of Up, Down, and zero

Result Diagnostics

Check	State
Binding stress	UPThe upward rate shock produces the binding NAV loss.
Capital rule	max(up loss, down loss, 0) = €3 214 422; up €3 214 422, down €-2 436 886.
Discount guardrail	No denominator-floor protection was needed.
Input checks	No input warnings.

Yield Curve Shock Map

Base curve

Up shock

Down shock

Cash Flow Gap

Positive net gap

Negative net gap

EIOPA Shock Factors

Year	Shock Up	Shock Down
1	70.00%	-75.00%
2	70.00%	-65.00%
3	64.00%	-56.00%
4	59.00%	-50.00%
5	55.00%	-46.00%
6	52.00%	-42.00%
7	49.00%	-39.00%
8	47.00%	-36.00%
9	44.00%	-33.00%
10	42.00%	-31.00%
11	39.00%	-30.00%
12	37.00%	-29.00%
13	35.00%	-28.00%
14	34.00%	-28.00%
15	33.00%	-27.00%
16	31.00%	-28.00%
17	30.00%	-28.00%
18	29.00%	-28.00%
19	27.00%	-29.00%
20	26.00%	-29.00%
21	25.914%	-28.871%
22	25.829%	-28.743%
23	25.743%	-28.614%
24	25.657%	-28.486%
25	25.571%	-28.357%
26	25.486%	-28.229%
27	25.40%	-28.10%
28	25.314%	-27.971%
29	25.229%	-27.843%
30	25.143%	-27.714%
31	25.057%	-27.586%
32	24.971%	-27.457%
33	24.886%	-27.329%
34	24.80%	-27.20%
35	24.714%	-27.071%
36	24.629%	-26.943%
37	24.543%	-26.814%
38	24.457%	-26.686%
39	24.371%	-26.557%
40	24.286%	-26.429%
41	24.20%	-26.30%
42	24.114%	-26.171%
43	24.029%	-26.043%
44	23.943%	-25.914%
45	23.857%	-25.786%
46	23.771%	-25.657%
47	23.686%	-25.529%
48	23.60%	-25.40%
49	23.514%	-25.271%
50	23.429%	-25.143%

1Step 1

Load the base risk-free term structure and projected cash flows

\left\{ y,\ r_y,\ CF^{A}_y,\ CF^{L}_y \right\}_{y=1}^{50}

2Step 2

Apply the Solvency II upward interest-rate stress with the 100 bp minimum increase

r^{\uparrow}_y = \max\left(r_y \times \left(1 + s^{\uparrow}_y\right),\ r_y + 0.01\right)

3Step 3

Apply the Solvency II downward stress, with nil decrease for negative base rates

r^{\downarrow}_y = \begin{cases} r_y, & r_y < 0 \\ r_y \times \left(1 + s^{\downarrow}_y\right), & r_y \ge 0 \end{cases}

4Step 4

Discount each annual asset cash flow under the base, up, and down scenarios

PV^{A,\omega}_y = \frac{CF^{A}_y}{\left(1 + r^{\omega}_y\right)^y}, \quad \omega \in \{\mathrm{base}, \uparrow, \downarrow\}

5Step 5

Discount each annual liability cash flow under the base, up, and down scenarios

PV^{L,\omega}_y = \frac{CF^{L}_y}{\left(1 + r^{\omega}_y\right)^y}, \quad \omega \in \{\mathrm{base}, \uparrow, \downarrow\}

6Step 6

Aggregate the stressed Net Asset Value across the full 50-year horizon

NAV^{\omega} = \sum_{y=1}^{50} PV^{A,\omega}_y - \sum_{y=1}^{50} PV^{L,\omega}_y

7Step 7

Measure the loss in NAV versus the base scenario

Loss_{\uparrow} = NAV^{base} - NAV^{\uparrow}, \qquad Loss_{\downarrow} = NAV^{base} - NAV^{\downarrow}

8Step 8

Take the more adverse loss, floored at zero, as the final capital requirement

SCR_{int} = \max\left(Loss_{\uparrow},\ Loss_{\downarrow},\ 0\right)

Understand the Interest Rate Risk

Overview

This calculator implements the gross capital requirement for the Interest Rate Risk sub-module within the Solvency II standard formula.^[1] The Interest Rate Risk requirement is defined as the economic capital necessary to cover the loss in basic own funds resulting from a 1-in-200 year stress event across the more adverse of the prescribed upward and downward yield-curve shocks.^[2]

Input Terms

Representative Base Rate: A representative point on the term structure used to evidence the Article 166 and 167 upward-floor and negative-rate treatment in an atomistic way alongside the full stressed balance-sheet inputs.
Representative Upward / Downward Shock Factors: The proportional stress factors applied to that representative base rate before comparing against the `+100 bps` minimum upward increase and the negative-rate safeguard.
Shocked Balance Sheet (Up / Down): The revalued assets, technical provisions, and other liabilities used to derive the stressed NAVs under the upward and downward yield-curve scenarios.

Technical Rationale

The Interest Rate Risk sub-module is calibrated to a 99.5% confidence level over a one-year horizon. The calculation measures the sensitivity of the undertaking’s net asset value to adverse shifts in the term structure of interest rates.^[1]

This calculator determines the capital requirement by taking the maximum loss in NAV derived from two distinct scenarios: the Up-shock and the Down-shock. The binding scenario depends on the duration mismatch between assets and liabilities. The goal is to ensure that the undertaking holds sufficient capital to absorb the economic impact of any significant yield-curve shift, regardless of its duration profile. The final result is the gross interest-rate component before diversification in Market Risk.

Important Notes

Rulebook build: The Standard Formula sheet applies the prescribed rate stresses across the editable 50-year projection horizon, uses the greater of the proportional upward shock and `+100 bps`, applies no downward decrease where the base rate is negative, and linearly interpolates missing input maturities.
Change since the 2015 version: Commission Delegated Regulation (EU) 2026/269 amends Articles 165-167 from 30 January 2027, including the revised first-smoothing-point construction and a term-dependent downward-rate floor. This educational calculator documents that change, but its current standard-formula sheet remains on the pre-30 January 2027 Article 165-167 basis until the future-effective branch is exactified.^[3]
Prepared-input note: If the curve, cash flows, or stressed balance-sheet values are entered rather than derived from source systems, treat the output as an educational reconstruction of the Article 165-167 method rather than a professional filing result.
Duration Sensitivity: Upward-rate shocks typically bind for asset-intensive duration profiles, while downward-rate shocks often bind for liability-driven profiles. Accurate asset and liability cash-flow mapping is essential for the valid derivation of the binding scenario.
Latest EIOPA market/counterparty update: Bonds and loans with issuer options should first pass through the standalone Bond Option-Adjusted Duration calculator where those options may shorten or extend duration under stress. The standalone Interest Rate Stress Valuation Scope calculator documents that the RFR stress includes all rate-sensitive assets and liabilities while leaving asset spreads unchanged.
Atomistic calculator split: The Calculators section includes standalone Interest Rate building blocks for up/down shock factor interpolation, up/down shocked rates, stressed scenario NAV, scenario loss, per-currency scenario aggregation, and the Article 165 capital selector. These remain calculators because each page owns one formula, rule, or handoff step.
Look-Through Approach: Per Article 84 of the Delegated Regulation, insurers must "look through" investment funds to the underlying rate-sensitive assets so the shocked balance-sheet views capture the real duration exposure.^[4]
Gross vs. Net SCR: This calculator determines the standalone Interest Rate Risk SCR. Solvency II risk is only finalized as a net impact on Basic Own Funds after diversification in Market Risk, then within BSCR, and after the top-level LAC TP and LAC DT adjustments.
Regulatory deviation: Material deviation from standard-formula assumptions at this layer may support a capital add-on or a move toward an internal model where justified.^[5]
Reporting: The displayed result is intended to support the corresponding standard-formula component feeding the S.25.01.01 standard-formula reporting view.^[6]

Sources

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Year	Base Rate (%)	Asset Cash Flow	Liability Cash Flow
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Year	Base Rate (%)	Asset Cash Flow	Liability Cash Flow
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