Calculating the impact of the change in rates is the second step in decomposing the P&L of a bond, after calculating the carry roll-down. The impact of a rate change is calculated as the value of the bond at the end of the period using the ending forward rate curve (and the bond's beginning-of-period spread), minus the end-of-period value of the bond calculated using the forward rates assumed for the purpose of determining carry roll-down (which represent some sense of "no change" in the interest rate environment). The value of the bond under the ending forward rate curve is:

$$\frac{1}{1 + \frac{0.007}{2} + \frac{0.003}{2}} + \frac{1}{\left(1 + \frac{0.007}{2} + \frac{0.003}{2}\right) \times \left(1 + \frac{0.01}{2} + \frac{0.003}{2}\right)} + \frac{101}{\left(1 + \frac{0.007}{2} + \frac{0.003}{2}\right) \times \left(1 + \frac{0.01}{2} + \frac{0.003}{2}\right) \times \left(1 + \frac{0.012}{2} + \frac{0.003}{2}\right)}$$ $$= 101.09$$

Therefore, the impact of the rate change is: