Currency Exposure

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Net currency exposure refers to the total amount of risk you may have in a particular currency. This is calculated by:

1. aggregating currency exposure cashflows: Summing up all the cashflows (inflows and outflows) in a specific currency over a certain period.
2. against hedge FX trades: Comparing these cashflows to the notional amounts of FX hedge trades that are meant to offset the currency risk.

So, net currency exposure is essentially the difference between the cashflows in a given currency and the hedging trades in that same currency over a specified time horizon.

On this page, we will discuss how to define the currency exposure and its cashflows. The hedge trades will be considered on a portfolio basis (or on selected trades), following the portfolio’s PV calculation.

Currency Exposure Definition

The two steps required to define a currency exposure are as follows:

1. create (or edit) the currency exposure that will hold cashflows in a given currency
2. add cashflows

1. Creating a Currency Exposure

Under Portfolios/Ccy Exposure List, you can add a currency exposure either manually or by importing the definition data.

Case 1: Manually Creating a Currency Exposure

To manually add a currency exposure, click on Add New (or edit an existing one by double-clicking on the line item).

Creating a currency exposure
Portfolios/Ccy Exposure List

Case 1: After clicking on Add New and inputting Name = NEW_USD_EXPOSURE and Currency = USD

Case 1: After clicking on Save

Case 2: Importing a Currency Exposure

To import a currency exposure (or a list of currency exposures), click on (import) and select the relevant currency exposure list definition .CSV import file.

You can download the import file template here .

A description of a currency exposure’s attributes and corresponding permissible values are set out in the table below.

Field Name	Description	Permissible Values
Name	The name of the currency exposure	Free text
Currency	The currency of the future exposure cashflows	Any currency in FX Cat A and FX Cat B See FX Rate Rule
Description	Comment field (optional)	Free text

2. Adding Currency Exposure Cashflows

Under Porfolios/Ccy Exposure List, at the currency exposure level, you can add cashflows either manually or by importing the definition data.

Case 1: Manually adding Cashflows

To manually add a cashflow (or a list of cashflows), click on Add New (or edit an existing one by double-clicking on the line item).

Case 1: Adding a cashflow
Portfolios/Ccy Exposure List/NEW_USD_EXPOSURE

Case 1: After clicking on Add New, inputting Date and Amount

Case 1: After clicking on Save - Versioning options

Case 1: After clicking on Save

Case 2: Importing Cashflows

To import a cashflow (or a list of cashflows), click on (import) and select the relevant cashflows list definition .CSV import file.

You can download the import file template here .

Case 2: After clicking on Import and selecting the relevant cashflow list file - Versioning options

Case 2: After clicking on Import

A description of a cashflow’s attributes and corresponding permissible values are set out in the table below.

Field Name	Description	Permissible Values
Ccy Exposure Name	The currency exposure that will hold the cashflow	Any existing currency exposure
Date	The cashflow date	YYYY-MM-DD (ISO 8601)
Amount	The cashflow amount	Numeric

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