Foreign currency forward VaR mapping

[afterworkguinness]

Hello,
In the example provided from Jorian in the notes on VaR mapping, the present value of the cash flow from being long the Euro spot = 125 MM = (-)(-130.09 MM USD)(0.968 USD Bill Discount Factor).

Can someone explain how this is the cash flow on the Euro spot ?

Thanks

 

[afterworkguinness]

Hi @David Harper CFA FRM CIPM , I'd be very appreciative if you could find time to look at this one. Thanks in advance.