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The Advanced EVE Full Detail report provides a valuation at the account level for all assets and liabilities under the various shock scenarios. In this way, one can see the projected impact of the rate shocks on each account. One can also track and compare the sources of interest rate risk as measured by the impact on the institution's valuations and capital.
When setting the report parameters, the user can choose to show only accounts with balances. The user can also choose to not show specific accounts, for instance, when there are a large number of relatively small accounts that could be better represented at the subtotal level. An example of a portion of the Advanced EVE Full Detail report is shown below.
The book values and average rates for each account and subtotal are shown in the left-hand column. Reading across the page, the Present Value of that account is shown under the appropriate rate shocks. Those present values represent the sum total of present values for each item in that account or each account that makes up the subtotal under each of the appropriate rate shocks.
Under the Present Value, the Discount Rates which were applied to the account under each shock scenario is shown. If the discount rate was set at the account level or inherited from the subtotal level, it will be signified by the label "AC" following "Discount Rate." If, however, the discount rates were set at the type level (floating, fixed, and/or adjustable), that will be signified by "FL," "FX," and/or "AD" following the "Discount Rate" label.
Similarly, any Prepayment assumptions that were made on the account under the appropriate rate shock will be shown on the lines following the Discount Rates. Whether the prepayment assumptions were made at the account or type level will be signified in the same way as the discount rates.
NOTE: If you have excluded EVE accounts (Goodwill), those volumes will not be included in the Book Value totals. Excluded accounts do not produce a present value. Those accounts will display all zeros on the report.
The Net Gain/(Loss) shown represents the difference between the Present Value and the original book value seen in the left-hand column. The Pct. Volatility represents the percentage change between the Present Value under each of the shock scenarios and the Present Value in the "no change" (+/- 0) scenario.
Subtotal results are shown in bold. Because a variety of different discount rates and prepayment assumptions may be made for the accounts and items that make up that subtotal, it would be meaningless to show those assumptions at the subtotal level and thus they are left out.