Fixed income attribution?

To confirm: the expected return from the first simulation (expected interest rate effect) captures the return solely from the change in price due to changing rates, or does it also somehow capture the now different level of would be interest income?

also, more simple question. Why include the expected simulation in the first place and not just use the unexpected interest rate effect since that’s what really happened? What more is being gained by using both?

Thanks in advance!

Any thoughts or insight?