| • Is a formal document that outlines position taking limits for an enterprise. It does so for the total firm, the operating lines (OLs), the trading desks, the traders, and the instruments. This document lists: - aging limits
- cash limits
- concentration limits
- contract limits
- conversion limits
- counterparty limits
- country limits
- cpv adjusted values
- cross border limits
- currency limits
- day trading limits
- delta adjusted limits
- dollar loss limits (daily, streak, cumulative over period)
- duration limits
- funding limits
- gross limits
- hierarchal organization for empowerment, enforcement and exceptions
- instruments may or may not be traded
- inventory limits
- investment limits
- long position limits
- margin limits
- market value limits
- maximum individual trade limits
- net position limits
- notional value limits • overnight exposure limits
- premium and discount limits
- principal or share limits
- regulatory capital limits for the firm, desk, trader, and instrument
- short position limits
- size of market limits (the firm relative to the marketplace)
- supervisory limits
- time value decay limits
- VAR (VaR) limits
- volatility limits
- who is authorized to trade, when, where, and with whom.
This important document is a reference as to process and procedure for trading, portfolio and risk management. The enforcement of this document must be at the executive level. For more information, contact us. |