Nomentia Scenario Analysis for FX and interest rate sensitivity

Scenario Analysis tests defined market movements against the portfolio already in Nomentia

Nomentia Scenario Analysis lets treasury model how hypothetical changes in interest rates, FX rates or both would affect the financial deals already managed in the platform.

Each scenario can be given a name and description so the assumption remains clear when it is reused. Treasury might define a +100 basis point rate shift, a 5% currency movement or a combined scenario that changes both.

The scope can be broad or targeted. Users can apply movements across the relevant rate sets and currencies or focus on selected exposures when the question is more specific.

Scenario and standard valuation use the same valuation engine

Scenario Analysis uses the same engine as Nomentia's standard deal market value calculation. The scenario changes the relevant market-rate inputs while the underlying valuation methodology remains consistent.

This avoids introducing a second valuation model purely for sensitivity analysis. It also keeps the scenario connected to the calculation logic already used for standard market values and, for relevant treasury transactions, realised and unrealised accounting entries.

Treasury can therefore compare the hypothetical result with the standard valuation without first reconciling two separate calculation environments.

One valuation run can calculate standard and scenario values together

Users define the valuation date, companies and deal types in scope and can include recently expired deals where required.

The same run can calculate the standard valuation, one or more saved scenarios, or both.

This gives treasury the current market view and the selected what-if views in one calculation process rather than requiring a separate run and reporting workflow for every scenario.

FX, interest-rate, funding and investment instruments are covered

Scenario Analysis follows the instrument coverage of Nomentia's market valuation.

The current scope includes FX forwards, swaps and spot transactions; interest-rate and cross-currency swaps; and funding and investment instruments such as loans, deposits, bonds and discount instruments. Relevant fees are included in the valuation process.

For floating-rate positions, future cash flows are reforecast using the rates defined by the scenario. Treasury can therefore review how the shock affects projected cash flows as well as market values.

Parallel shifts can be applied broadly or to selected exposures

The 2026.11 release supports parallel shifts for interest-rate curves. A positive shift moves the selected curve upward and a negative shift moves it downward across the curve.

Treasury can apply the same movement broadly or assign different shifts to selected interest-rate sets. FX scenarios can likewise be configured across currencies or targeted to specific currencies.

This supports both portfolio-wide interest rate stress testing and more focused currency stress testing without changing the underlying valuation method.

Scenario results appear in Deal Management and Transactions reporting

Calculated scenario values remain in the reporting environment where treasury already works with deal data.

Users can choose which valuation each report column shows in Deal Management and Transactions, including the standard valuation and one or more scenarios. Market values, valuation rates and projected cash flows can be reviewed side by side.

When the result is needed in a management pack or another reporting process, the report can also be exported to Excel.

Results are stored in the currencies treasury needs for reporting

Scenario results are stored per deal and valuation date rather than disappearing after the calculation.

Values remain available in the original deal currency, the relevant company accounting currency and the group base currency. This makes it easier to answer the same exposure question from an individual deal, entity or group perspective.

Stored results also allow treasury to revisit an earlier scenario and compare it with a later reporting period.

The treasury valuation log explains every scenario number

When a portfolio result needs to be challenged, users can open the valuation log for the underlying deal.

The log records when the valuation ran, who ran it, which market data was used and the calculation details behind the result, including the relevant cash flows. Standard valuation and scenario calculations can be reviewed in the same place.

This provides a valuation audit trail for internal review, audit discussions and market risk reporting without requiring treasury to recreate the calculation outside Nomentia.

Scenario definitions are controlled without restricting everyday reporting

Creating and editing scenarios is governed through a dedicated user right. This keeps the scenario assumptions with authorised users while allowing other users to include existing scenario values in reports without additional scenario-management permissions.

Changes to scenario definitions are logged. If a scenario is deleted, the user is warned that the calculated results associated with it will also be removed.

The result is a clear separation between controlling the assumptions and using approved scenario results in day-to-day reporting.

The same setup supports IFRS 7 reporting and ongoing treasury risk management

Scenario Analysis supports the sensitivity work used for IFRS 7 market risk disclosure by applying defined rate and FX movements to the same deals and valuation logic as the standard figures.

The scenarios can also be rerun between reporting dates. Treasury can use them before a board meeting, during a hedging or refinancing discussion, or after a significant market movement to understand how the current portfolio responds.