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Definition of foreign exchange settlement exposure

Tables

Table 1a

"Worst-case" North American bank
FX settlement exposure as of Friday, 11 a.m. local
time (4 p.m. GMT)
Amount bought, in millions of US dollars

Transaction By transaction
Currency
sold 		Currency bought Due Thursday Status Due
Friday 		Status Due
Monday 		Status Due
Tuesday 		Status
USD JPY15 U 15U 15R 15R
DEM JPY10 U 10U 10I 10R
USD DEM20 U 20U 20R 20R
JPY DEM15 U 15U 15I 15R
DEM USD20 U 20I 20I 20R
JPY USD20 U 20I 20I 20R
Trade status By trade status TOTAL
Status F 0 0 0 0 = 0
Status I 0 40 65 0 = 105
Status U 100 60 0 0 = 160
Status R 0 0 35 100= 135
MINIMUM EXPOSURE =
MAXIMUM EXPOSURE=		 105
 
265

Table 1b

"Worst-case" Asian bank
FX settlement exposure as of Saturday, 1 a.m. local time (4 p.m. GMT)
Amount bought, in millions of US dollars

Transaction By transaction
Currency sold Currency bought Due Thursday Status Due
Friday 		Status Due
Monday 		Status Due Tuesday Status
USD JPY 15 U 15U 15I 15R
DEM JPY 10 U 10U 10I 10R
USD DEM 20 U 20U 20I 20R
JPY DEM 15 U 15U 15I 15R
DEM USD 20 U 20I 20I 20R
JPY USD 20 U 20I 20I 20R
Trade status By trade status TOTAL
Status F 0 0 0 0 = 0
Status I 0 40 100 0 = 140
Status U 100 60 0 0 = 160
Status R 0 0 0 100 = 100
MINIMUM EXPOSURE =
MAXIMUM EXPOSURE =		 140
 
300

Table 1c

"Worst-case" European bank
FX settlement exposure as of Friday, 5 p.m. local time (4 p.m. GMT)
Amount bought, in millions of US dollars

Transaction By transaction
Currency sold Currency bought Due Thursday Status Due
Friday 		Status Due
Monday 		Status Due Tuesday Status
USD JPY15 U 15U 15I 15R
DEM JPY10 U 10U 10I 10R
USD DEM20 U 20U 20I 20R
JPY DEM15 U 15U 15I 15I
DEM USD20 U 20I 20I 20R
JPY USD20 U 20I 20I 20I
Trade status By trade status TOTAL
Status F 0 0 0 0 = 0
Status I 0 40 100 35 = 175
Status U 100 60 0 0 = 160
Status R 0 0 0 65 = 65
MINIMUM EXPOSURE =
MAXIMUM EXPOSURE =		 175
 
335

 

The entire document including tables
described below can be dowbloaded in PDF format at:

http://www.bis.org/publ/index.htm

Document #17 under Committee on Payment and Settlement Systems.

Table 2a
"Best-case" North American bank
FX settlement exposure as of Friday, 11 a.m. local
time (4 p.m. GMT)
Amount bought, in millions of US dollars

Table 2b
"Best-case" Asian bank
FX settlement exposure as of Saturday, 1 a.m. local
time (4 p.m. GMT)
Amount bought, in millions of US dollars

Table 2c
"Best-case" European bank
FX settlement exposure as of Friday, 5 p.m. local time
(4 p.m. GMT)
Amount bought, in millions of US dollars

Table 3
"Worst-case" North American bank
FX settlement exposure as of Friday, 11 a.m. local
time (4 p.m. GMT) with netting

Table 4
"Best-case" North American bank
FX settlement exposure as of Friday, 11 a.m. local
time (4 p.m. GMT) with netting

See also: Credit exposure and related terms

Risk Library * Documents by Author * Committees at the Bank for International Settlement (BIS) * Settlement Risk in Foreign Exchange Transactions * Appendix 1 * Definition of foreign exchange settlement exposure