Let $X_t$ be the exchange rate from one unit foreign currency to units domestic currency. Moreover, let $K$ be the forward rate set at the contract inception time, which is usually prior to the VaR calculation date $t_0=0$. Then the value at time $t$, where $t_0 \le T \le T$, of the forward contract is given by
\begin{align*}
B_t^d\,\mathbb{E}\left(\frac{X_T-K}{B^d_T} \,\big|\, \mathcal{F}_t\right),
\end{align*}
where $B_t^d$ is the domestic money-market account value, $P^f(t, T)$ is the value at time $t$ of the foreign zero coupon bond with maturity $T$, and $\mathbb{E}$ is the expectation operator under the domestic risk-neutral measure $\mathbb{Q}^d$.
As $P^f(t, T)X_t$ and $P^d(t, T)$ are values at time $t$ of domestic tradable assets. the processes $\left\{\frac{P^f(t, T)X_t}{B_t^d}, \, t_0\le t \le T \right\}$ and $\left\{\frac{P^d(t, T)}{B_t^d}, \, t_0\le t \le T \right\}$ are martingales under the domestic risk-neutral measure. Then, the value at $t$ of the forward contract is given by
\begin{align*}
B_t^d\,\mathbb{E}\left(\frac{X_T-K}{B^d_T} \,\big|\, \mathcal{F}_t\right) &=
B_t^d\,\mathbb{E}\left(\left(\frac{P^f(T, T)X_T}{B^d_T} -K\frac{P^d(T, T)}{B^d_T}\right) \,\big|\, \mathcal{F}_t\right)\\
&=P^f(t, T)X_t - K P^d(t, T).
\end{align*}
That is, the value of the exchange of certain amount of foreign zero-coupon bond with certain amount of domestic zero-coupon bond.
Addendum
Here, we provide a mathematical derivation that the process $\left\{\frac{P^f(t, T)X_t}{B_t^d}, \, 0 \le t \le T \right\}$ is a martingale under the domestic risk-neutral measure $\mathbb{Q}^d$.
Let $\mathbb{Q}^f$ be the foreign risk-neutral measure, and $\mathbb{E}^f$ be the corresponding expectation operator. Note that the process $\left\{\frac{P^f(t, T)}{B_t^f}, \, 0 \le t \le T \right\}$ is a martingale under the foreign risk-neutral measure. We denote by $\eta_t$ the Radon–Nikodym derivative
\begin{align*}
\frac{d\mathbb{Q}^d}{d\mathbb{Q}^f}\big|_t = \frac{B_t^d X_0}{B_t^f X_t}.
\end{align*}
Then, for $0 \le s \le t \le T$,
\begin{align*}
\mathbb{E}\left(\frac{P^f(t, T)X_t}{B_t^d}\, \big| \, \mathcal{F}_s\right) &= \mathbb{E}^f\left(\frac{\eta_t}{\eta_s}\frac{P^f(t, T)X_t}{B_t^d}\, \big| \, \mathcal{F}_s\right)\\
&=\mathbb{E}^f\left(\frac{B_t^d}{B_t^f X_t} \frac{B_s^f X_s}{B_s^d}\frac{P^f(t, T)X_t}{B_t^d}\, \big| \, \mathcal{F}_s\right)\\
&=\frac{B_s^f X_s}{B_s^d}\mathbb{E}^f\left(\frac{P^f(t, T)}{B_t^f}\, \big| \, \mathcal{F}_s\right)\\
&=\frac{P^f(s, T)X_s}{B_s^d}.
\end{align*}
That is, $\left\{\frac{P^f(t, T)X_t}{B_t^d}, \, 0 \le t \le T \right\}$ is a martingale under the domestic risk-neutral measure.
