Notional Exposure Formulas

Futures

Exposure = Contracts × Multiplier × Price × FX rate

Esempio GBPUSD future: - 2 contracts - Multiplier = 62,500 - Price = 1.33 - FX to USD = 1.33

Exposure = 2 × 62,500 × 1.33 × 1.33 = $220,562

(Se home currency e GBP, FX = 1.0 → Exposure = £166,250)

Exposure = Contracts × Contract Size × Price

Esempio GBPUSD CFD: - 2 contracts - Size = £10,000 - Price = 1.33

Exposure = 2 × 10,000 × 1.33 = $26,600

Exposure = (Amount per point × Price) / Point size

Esempio S&P 500: - £2 per point - Price = 2700 - Point size = 1

Exposure = (£2 × 2700) / 1 = £5,400

Exposure = Amount of currency purchased

Esempio: Buy $10,000 USD = Exposure $10,000

Exposure = Shares × Price

Esempio: 10 shares SPY @ $274 = $2,740

Annual Risk = Exposure × σ%

Esempio: - Exposure = $10,000 - σ% = 16%

Risk = $10,000 × 0.16 = $1,600 annual