Social Networks

We use cookies to enhance your experience. By continuing to visit this site you agree to our use of cookies. Learn More

Got it!
Capital Optimisation Delivery


IR Volatility


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


Manual Data Processing

The existing semi-manual approach forced the team to spend large amounts of time sifting through data and constructing an accurate view of the hedge portfolio which resulted in delays to hedge execution and accuracy.

Current Hedging Process was Resource-Heavy

Inefficient hedging process consumed resources in the preparation of hedge data.

Inaccurate Reporting

Delayed delivery of key metrics resulted in inaccurate hedging activity.

Costly to Manage the IR Risk

Inaccurate hedging approach forced our client to frequently adjust hedge trades which resulted in high cost for managing the IR risk in aggregate and across tenors.

Inaccurate P&L Reporting

Residual portfolio volatility remained high and created large hedging accounting P&L swings.

Market Signalling

Hedge Accounting P&L impacts are a metric visible to market analysts via banks statutory reporting – high volatility is interpreted as a proxy for treasury management ineffectiveness.

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.

The bank achieved approximately USD$2m in hedge execution cost reduction per annum through this data solution

Operational Risk Benefit

Huge operational risk benefit was captured through automating the manual process.

Proven IR Volatility Reduction

The Data solution showed significant and proven IR volatility reduction across stressed and non-stressed environments.

ROI Delivered

Our capital optimisation delivery produced a highly attractive return on investment for the bank.

Related Data Solutions

Calimere Point have helped our clients gain value from the data revolution.