FX Hedge Structure Analyzer
Analyze FX exposures and design optimal hedging structures with stress testing
What You Can Do
You can rapidly quantify net FX exposures across multiple business lines and time horizons, then design tailored hedging solutions that compare forwards, swaps, options, and collar strategies with embedded cost calculations. Claude stress-tests proposed hedges against multiple FX scenarios (including spot moves >10%) to identify basis risk and timing mismatches, while documenting hedge rationale and compliance with ASC 815 / IFRS 9 standards for board-level treasury strategy reviews.
Features
Aggregate net FX positions across business lines, geographies, and time horizons with clear visibility into gross and net exposures
Evaluate forwards, swaps, options, and collars side-by-side with embedded cost calculations and risk/reward trade-offs
Model hedge performance across 5-10 FX scenarios (including >10% spot moves) to assess option strike placement and collar effectiveness
Generate detailed matrices comparing upfront costs, contingent costs, opportunity costs, and net breakeven points for each strategy
Identify mismatches between FX receipt/payables timing and hedge maturity to flag rollover and basis risk
Output hedge effectiveness summaries formatted for ASC 815 / IFRS 9 testing and treasury policy alignment
Assess credit exposure on multi-year hedges across counterparty concentration and collateral requirements
Build rolling hedges, layered entry strategies, and rebalancing frameworks for volatile currency pairs
Example Output
Example 1: Forward vs. Collar Comparison
| Instrument | Upfront Cost | Max Loss | Breakeven | Recommendation |
|---|---|---|---|---|
| Forward Lock (12M) | $0 | 3.5% | Spot | Budget certainty, no optionality |
| 1:1 Collar (12M) | $25K premium | 2.0% | 3.5% spot | Best for 60-80% hedge ratio |
| Put Option (OTM) | $180K | Unlimited upside | Spot+1.2% | Upside protection, costly |
Recommendation: Use 70% forward lock + 30% collar for operational GBP receivables—limits downside to 2.8% while preserving 15% upside.
Example 2: Stress Test Output
Scenario Analysis for EUR/USD 12-month hedge:
- Base (1.08): P&L hedge efficiency 92%
- Downside (1.00, -7.4%): Collar triggers; net loss capped at $420K
- Upside (1.15, +6.5%): Put expires worthless; net gain $580K
- VIX Spike: Collar value rises 3.2%; effective hedge ratio improves to 94%
Basis Risk Flag: 2-month cash flow delay increases timing risk; recommend staggered 50/50 entry.
What's Included
- SKILL.md: Instruction file with full analyzer logic and stress-testing framework
- FX Exposure Template: Structured input sheet for multi-line exposure aggregation (business line, currency, amount, maturity)
- Hedging Instrument Comparison Matrix: Pre-formatted table for forwards, swaps, options, and collars with cost and risk columns
- Stress Test Scenario Builder: 10 predefined FX scenarios (ranging from -15% to +15% spot moves) with volatility stress assumptions
- ASC 815 / IFRS 9 Documentation Checklist: Compliance checklist for hedge effectiveness testing and policy alignment
Who It's For
- Treasury Analysts — Design and evaluate FX hedging programs for corporate exposures
- Multinational Finance Teams — Manage exposures across multiple business lines and geographies
- CFO/Treasurer — Review hedge recommendations and cost-benefit trade-offs for board presentations
- M&A Integration Teams — Structure FX hedges for deal-related operational and currency exposures
- Risk Management Officers — Document hedge rationale, stress-test scenarios, and compliance with treasury policies
Best For
- Multi-currency Exposure Hedging — Evaluate and structure hedges for operational FX receipts, payables, and intercompany loans
- Scenario Modeling & Stress Testing — Assess hedge performance across 5-10 FX scenarios to optimize strike placement and collar ratios
- Cost-Benefit Analysis — Compare hedging instrument strategies with embedded cost calculations and breakeven analysis
- Compliance Documentation — Generate ASC 815 / IFRS 9 hedge effectiveness summaries and treasury policy alignment reports
- Dynamic Hedge Program Design — Build rolling hedges, layered entry strategies, and rebalancing frameworks for volatile currency pairs
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