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Back to Dashboard |
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FX Risk Policy, Limits & Compliance Monitoring |
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Risk appetite framework, limit structure, breach
monitoring, and escalation procedures |
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1. Risk Appetite Statement |
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Maximum Portfolio VaR (10d, 95%): |
$15,000,000 |
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Maximum Single Currency VaR: |
$5,000,000 |
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Maximum Unhedged Exposure: |
$75,000,000 |
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Minimum Portfolio Hedge Ratio: |
50% |
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Maximum Hedge Tenor: |
24 months |
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Approved Instruments: |
Fwds, Options, NDFs, Swaps, Collars |
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Review Frequency: |
Monthly (Board: Quarterly) |
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2. Limit Monitoring Dashboard |
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Limit Type |
Limit Value |
Current Value |
Utilization % |
Buffer |
Status |
Escalation |
Last Review |
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Portfolio VaR (10d, 95%) |
$15,000,000 |
$8,750,000 |
58.3% |
$6,250,000 |
COMPLIANT |
Routine |
2/10/2026 |
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Single CCY VaR - EUR/USD |
$5,000,000 |
$2,850,000 |
57.0% |
$2,150,000 |
COMPLIANT |
Routine |
2/10/2026 |
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Single CCY VaR - GBP/USD |
$5,000,000 |
$1,960,000 |
39.2% |
$3,040,000 |
COMPLIANT |
Routine |
2/10/2026 |
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Single CCY VaR - USD/JPY |
$5,000,000 |
$3,050,000 |
61.0% |
$1,950,000 |
COMPLIANT |
Routine |
2/10/2026 |
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Single CCY VaR - USD/BRL |
$5,000,000 |
$4,120,000 |
82.4% |
$880,000 |
WARNING |
Treasurer |
2/10/2026 |
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Max Unhedged Exposure |
$75,000,000 |
$50,050,000 |
66.7% |
$24,950,000 |
COMPLIANT |
Routine |
2/10/2026 |
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Min Hedge Ratio |
50% |
65.2% |
76.7% |
15.2% |
COMPLIANT |
Routine |
2/10/2026 |
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Counterparty Conc. - JP Morgan |
25% |
18.0% |
72.0% |
7.0% |
COMPLIANT |
Routine |
2/10/2026 |
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Counterparty Conc. - Citi |
25% |
12.0% |
48.0% |
13.0% |
COMPLIANT |
Routine |
2/10/2026 |
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Max Single Tenor |
360 |
270 |
75.0% |
90 |
COMPLIANT |
Routine |
2/10/2026 |
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3. Counterparty Credit Limits & Exposure |
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Counterparty |
Credit Rating |
Max Notional Limit |
Current Exposure |
Utilization |
ISDA/CSA |
Margin Threshold |
Status |
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JP Morgan |
A+ / Aa2 |
$50,000,000 |
$37,350,000 |
74.7% |
Yes |
$10,000,000 |
COMPLIANT |
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Citi |
A / A3 |
$40,000,000 |
$24,000,000 |
60.0% |
Yes |
$8,000,000 |
COMPLIANT |
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Deutsche Bank |
A- / A3 |
$35,000,000 |
$16,000,000 |
45.7% |
Yes |
$5,000,000 |
COMPLIANT |
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HSBC |
A+ / Aa3 |
$45,000,000 |
$8,400,000 |
18.7% |
Yes |
$10,000,000 |
COMPLIANT |
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Standard Chartered |
A / A1 |
$30,000,000 |
$21,000,000 |
70.0% |
Yes |
$7,000,000 |
COMPLIANT |
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UBS |
A+ / Aa2 |
$40,000,000 |
$4,900,000 |
12.3% |
Yes |
$8,000,000 |
COMPLIANT |
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Mizuho |
A / A1 |
$25,000,000 |
$14,400,000 |
57.6% |
Yes |
$5,000,000 |
COMPLIANT |
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RBC |
AA- / Aa2 |
$35,000,000 |
$9,600,000 |
27.4% |
Yes |
$7,000,000 |
COMPLIANT |
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TOTAL |
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$300,000,000 |
$135,650,000 |
45.2% |
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4. Escalation Procedures |
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Trigger Level |
Utilization Range |
Action Required |
Escalation To |
Response Time |
Documentation |
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Green (Normal) |
0% - 75% |
Routine
monitoring |
Treasury Desk |
Monthly report |
Standard risk
report |
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Amber (Warning) |
75%
- 90% |
Review
& prepare action plan |
Treasurer
/ Risk Mgr |
Within
24 hours |
Breach
memo + action plan |
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Red (Breach) |
90%
- 100% |
Immediate
remediation required |
CFO |
Immediate |
Formal
breach report |
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Critical (Over
Limit) |
>
100% |
Emergency
close/reduce positions |
CFO
& Board Risk Cte |
Immediate |
Board
notification + root cause |
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Notes: |
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- All limits subject to
annual review by Board Risk Committee. Policy effective date: January 2026. |
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- Counterparty limits
based on internal credit assessment aligned with S&P/Moody's ratings. |
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- Sample policy
framework. Customize to your organization's risk appetite and governance
structure. |
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