Capital Optimisation Delivery
Proven
IR Volatility
Reduction
Data Analytics and Visualisation enabling a reduction of approximately USD$2m pa in Hedge Execution Costs
The Treasury division of a Swiss universal bank, engaged Calimere Point’s capital optimisation delivery expertise, to develop an automated infrastructure to manage their hedge accounting interest rate (“IR”) volatility.
Managing Hedge Accounting IR volatility is a challenge for all banks; the lack of a robust process hedge infrastructure can drive increased hedging costs and operational risk concentrations.
By leveraging data analytics tools and techniques, banks can better manage this risk and make more informed decisions against a rapidly changing financial markets backdrop.
Industry: Financial Services, Investment Banking
Challenges
Data Solution
Data Analytics and Visualisation Engines
Calimere Point, leveraging data analytics and visualisation engines developed and implemented a set of algorithms which reduced the IR risk across both the overall hedge accounting portfolio and at individual time buckets.
Dynamic Data Dashboards
The solution also included a set of hedge dashboards which allowed Treasury management to see real time information on IR residual risks on aggregate and across time buckets for 10 sets of currency pairs.
The Robustness of the Solution
The solution was thoroughly back tested against historical time periods, including during periods of significant market stress, and resulted in a significant reduction in portfolio volatility.
The Full Repeatable Process: Real-Time Hedge Metrics and Cost Reduction through Eliminating Portfolio Rebalancing
The full repeatable process produced hedge metrics in real-time and eliminated the need for regular portfolio rebalancing – reducing both hedging activity and therefore hedging costs.
Benefits
