ALM Tools · rate-shock, duration & FTP
Rate-Shock — Curve
Duration Impact
| Parallel shift | Est. price impact |
|---|---|
| -200 bp | +9.00% |
| -100 bp | +4.50% |
| +0 bp | 0.00% |
| +100 bp | -4.50% |
| +200 bp | -9.00% |
| +300 bp | -13.50% |
Est. %ΔP ≈ −D·Δy + ½·C·Δy². Illustrative — informational only, not investment advice.
FTP Curve
| Tenor | Treasury | FTP |
|---|---|---|
| 1M | 3.72% | 3.97% |
| 3M | 3.68% | 3.93% |
| 6M | 3.79% | 4.04% |
| 1Y | 3.80% | 4.05% |
| 2Y | 4.00% | 4.25% |
| 3Y | 4.09% | 4.34% |
| 5Y | 4.17% | 4.42% |
| 7Y | 4.32% | 4.57% |
| 10Y | 4.48% | 4.73% |
| 20Y | 5.01% | 5.26% |
| 30Y | 5.01% | 5.26% |