Purpose
You can use this report to carry out retrospective and prospectiveeffectiveness assessments. The check is carried out by determining thenet present value changes of the underlying and hedge transactionbetween two points in time and putting them in relation to each other.

Prerequisites
If you want to carry out a prospective effectiveness test, you will needa market data scenario. You can create market data scenarios withtransaction TV21.

Selection
The input parameters you should set here and they should be set dependsprimarily on whether you want to carry out a retrospective orprospective test.

• Evaluation date: This is the date for which the market data is
determined for the later evaluation time.

• Horizon: This date is the later evaluation time. In the case of a
retrospective test, it usually makes sense to select the same evaluationdate and horizon. If you want to create an effectiveness prognosis, setthe evaluation date to the system date (different date from the horizondate) so the report can dissolve variable interest rate flows.

• Use individual parameters: Select this pushbutton if you want to use an
alternative calculation category or market data scenario as the basis ofthe analysis. It can make sense to use a scenario if you want to createan effectiveness prognosis. The market data scenario can be created, forexample, with a curve running 100 basis points parallel to the currentinterest rate curve.