Interest rate risk is a complex topic that cannot always be captured in a single number, including the shocked NEV.  If an institution has a low book capital ratio such as 7% or lower and the non-maturity deposits are valued at par, the Shocked NEV in a +300BP test may be below the widely used regulatory threshold of 4% even if the institution has little or no interest rate risk.  In this situation, it is essential to exercise good judgment and examine the balance sheet composition and the income simulation results.  If the balance sheet has no obvious structural issues such as a material amount of fixed-rate mortgage loans or excessive short-term funding, the low NEV may be more of a capital issue rather than an interest rate risk problem. 

The income simulation results can provide considerable insight in this situation.  For example, if the decline in net interest income (NII) is significant, i.e., greater than, say 15%, and the NII does not recover within a few years following the +300BP 12-month Ramp test, this could be indicative of a risk problem.  A change in the shocked NII of only 5% may confirm that this was a capital problem rather than an interest rate risk problem.  Again, it is extremely difficult to capture risk in a single number.  Proper analytical interpretations and good judgment are essential parts of the risk measurement process.