Scenarios
As of Oct. 16, 2026Spot shock
| Ccy | Spot | Shocked | Net exposure | Unhedged impact | Hedge MTM change | Hedged impact | P&L | OCI |
|---|---|---|---|---|---|---|---|---|
| EUR | 99.0978 | 94.1429 | 2,236,000 | -11,079,134 | 3,698,992 | -7,380,142 | -1,888,688 | 2,713,844 |
| USD | 84.7212 | 80.4851 | 6,876,000 | -29,127,149 | 12,693,391 | -16,433,758 | 290,353 | 8,590,584 |
| Total | -40,206,283 | 16,392,382 | -23,813,900 | -1,598,335 | 11,304,427 | |||
Unhedged impact is the economic effect on all open exposures (forecasts probability weighted). Hedged impact adds the hedge book MTM change. P&L covers recognised monetary items, undesignated derivatives and hedge ineffectiveness; OCI is the movement in the cash flow hedge reserve.
Shock ladder
| Shock | Unhedged | Hedged | P&L | OCI |
|---|---|---|---|---|
| -10% | -80,412,565 | -47,627,800 | -3,170,898 | 22,583,082 |
| -5% | -40,206,283 | -23,813,900 | -1,598,335 | 11,304,427 |
| -2% | -16,082,513 | -9,525,560 | -643,308 | 4,525,745 |
| 2% | 16,082,513 | 9,525,560 | 623,117 | -4,505,554 |
| 5% | 40,206,283 | 23,813,900 | 1,522,854 | -11,228,946 |
| 10% | 80,412,565 | 47,627,800 | 3,089,174 | -22,501,359 |
Historical VaR (1 day)
VaR 95%
1,127,274
Expected shortfall
1,282,893
Observations
130
Source: stored spot history. Net open position after hedges: EUR 147,259,331, USD 324,143,311 (INR equivalent). Daily returns are applied to today's position.