Sovereign
Global Markets · Material experience
Production· eu-central-1

EV
Dr. Elena Vasquez
Chief Compliance Officer
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What's our EUR/CHF exposure and is it adequately hedged?

get_fx_exposure · net €82.4M · vol 9.1% (30d)

Net EUR/CHF exposure is €82.4M against a desk soft limit of €75M, so the book is currently over-exposed [1]. The FX Hedging Protocol requires a 40% hedge overlay to be initiated within the next execution window when the soft limit is breached [2]. This is consistent with the firm's best-execution duties under MiFID II [3]. I'd recommend initiating the overlay and routing the order for human approval before execution.

Grounded · 3 sources · 0 unverified
[1] FX Hedging Protocol v4 — EUR/CHF
[2] FX Hedging Protocol v4 — EUR/CHF
[3] MiFID II Best-Execution Standard
What's our EUR/CHF exposure and is it adequately hedged?
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