VaR Scenarios

If you want to drill down and see the details of each scenario date per deal.

Select Valuation date.

Tab Deal Grid - Shows Scenarios per Deal / Deal part. 

Select the deal that you want see details for.

Valuation Date Amount - Market value per valuation date in original currency.

Valuation Date Consolidated Amount - Market value per valuation date consolidated to the currency selected in he System Settings.

Z Spread - Z-spread is calculated for Bonds and Commercial Paper as a fixed spread based on the difference between the Bond price and the Yield curve and is used in the VaR calculation to get a more correct profit and loss value, including the counterparty risk. 

Error Message - If Market value is not possible to calculate an error message is shown.

Scenario Date - Maximum 252 days but is decided in the Autopilot run.

Interest Stressed Market Value - Market value stressed with historical changes in interest rate yield curves times FX Rate on the Valuation date.

FX Stressed Market Value - Market value per valuation date in original currency times stressed with historical changes in FX Rates.

Example FX Stressed Market Value 

FX Rates - USD/SEK

2026-01-23: 9,50

2026-01-22: 9,40

Difference:   9,50 - 9,40 = 0,10

Calculation of the FX Stressed Market Value on 2026-01-23 = MV * 9,60

Total P&L: Interest P&L plus FX P&L

Interest P&L: Interest Stressed Market Value minus Valuation Date Consolidated Amount

FX P&L: FX Stressed Market Value minus Valuation Date Consolidated Amount 

Error Message - If Market value is not possible to calculate for the specific scenario date an error message is shown. 

Tab Scenario Grid - Shows all Scenarios. Possible to group by Scenario date, Portfolio, Deal Part type and Deal part ID  

How to find highest Total P&L or Total P&L for a specific quantile.

Right click on Scenario date - Select 'Sort By Summary' and then 'Sum By Total P&L - Ascending'.

Result - Sorted by total P&L per scenario date in Ascending order.