In the low volatility environment preceding the financial crisis, many firms increased their leverage and risk. Arguably investments in illiquid positions should have been evaluated with respect to long horizon volatility and risk. Risk managers should account for the risk that the risk can change. Scenario analysis is a solution to the need. A probability based scenario generator is developed to examine the long run risk of the US treasury term structure. It features a reduced rank vector autoregression with Nelson Siegel factors and GARCH-DCC multivariate disturbances. Backtests motivate model improvements.