Risk & Hedge
SAFRA 24/25
COFFEE · ARÁBICA
trending_up
ICE NY SEP24
224.85 +1.2%
Net Matrix 2.0
Posição Física vs. Derivativos & Basis Spread
Net Exposure
+12,450 bags
Comprado (Long)
Vendido (Short)
Basis Analysis (Spread Local)
+$4.50 vs NY
-10 pts (Weak)
Parity
+10 pts (Strong)
warning
gpp_maybe
Exposição Desprotegida
Detectado gap de 15.5k sacas no cluster 'Bebida Fina'.
VaR (95%)
R$ 4.2M
Delta Impact
-8.4%
Curva de Preços vs. Trava
ICE NY Forward Curve + Market Consensus
Trava Média
NY Curve
Market Consensus
Jul 24Ago 24Set 24Out 24Nov 24Dez 24Jan 25
Monitor de Margem (Bolsa)
Liquidez Corrente em Risco
STRESS TEST
65%
Safety
Total Cash Margin
$ 1.85M
Portfolio Sensitivity (Greeks)
DELTA (Hedge Eff.)
0.88THETA (Time Decay)
-0.12Composição de Carteira & Risco de Contraparte
Exposição consolidada por certificação e trading houses
| Certificado / Cluster | Volume (Sacas) | Financial Exp. | Counterparty Risk | Hedge Status |
|---|---|---|---|---|
|
Specialty Arabica
|
12,500 | $ 2.4M |
LDC
60%
|
100% PROTEGIDO |
|
Fairtrade Certified
|
8,200 | $ 1.1M |
COFCO
40%
|
45% PROTEGIDO |