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Reporting and Review

There needs to be continuous monitoring whether the Exposures are headed where they are intended to reach. As such, the Exposure Management activities need to be reported and reviewed.
Treasury Risk Management

The Colour of Money - Series on Forex Hedging

Current Issue   ::    Archives
Use a Forecast for Budgeting
28th May, 2012

Reporting
The Exposure Manager will prepare the following Reports on a regular basis:

Report Name What it shows Periodicity
MTM Report The Mark-to-Market Profit/ Loss status on Open Forward Contracts Daily, closing
Exposure NAV Report The All-in-all exchange/ interest rate achieved on each Exposure, and profitability vis-a-vis the Benchmark Fortnightly
VAR Report Expected changes in overall Exposure due to forecasted exchange/ interest rate movements Monthly

Review
A monthly Review meeting will consider the following:

Issue

On the basis of

Points to be reviewed
Exposure Performance Exposure NAV Report
Is the Benchmark being met/ bettered?
What are the chances of the Benchmark being violated on the wrong side?
Reasons for the Benchmark being violated on the wrong side
Market Situation
Reviews of market developments
Forecasts of market movements
Is the Big Trend still in place? Or has it changed?
Benchmarking The above two Does the Benchmark need to be changed?
Hedging Strategy MTM and Exposure NAV Reports Is the strategy working well? Or does it need to be finetuned/ overhauled?
Operational issues Exposure Manager's experiences Operational problems to be solved

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