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MERID-0000001
·RE_ Q3 Risk Committee — Trading Desk Exposure.eml
MERID-0000001CONFIDENTIAL — SUBJECT TO PROTECTIVE ORDER
RE: Q3 Risk Committee — Trading Desk Exposure
From: Rebecca Ashford <rashford@meridianfg.com>
To: Michael Torres <mtorres@meridianfg.com>
Date: 2023-09-14 08:42
Rebecca —
Following the Q3 risk committee call this morning, I want to flag that our position limits on the equity derivatives book tripped the internal threshold at 08:14 ET. Compliance has been notified per protocol, but we should discuss disclosure timing before the board deck goes out on the 11th.
Aisha's team flagged an intermittent calibration issue with the VaR model back in July that may bear on how we characterize exposure. Loop in Dan Weinstein — I'd like his read before we put anything in writing externally.
— Michael
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