For a long time, we have been concerned by the common practice in Over the Counter (“OTC”) derivative markets of end users conducting all their hedging activity with a small group of their “relationship” banks.

Corporate finance theory has long established that companies should maximise their Enterprise Value no matter who the shareholders are.

Banks have traditionally provided funding and hedging acting as principals. The financial crisis has critically reduced banks’ appetite for risk, thus often reducing their role in several traditional investment banking functions to that of ‘matched brokers’.

TradeRisks Treasury Systems

We have developed our own proprietary treasury, debt and derivatives dealing and risk management systems, TradeRisks. The calculation engine and user interface for these systems are written in C++ and Java respectively. The systems are part of our own systems infrastructure which we use to provide advice and manage our clients' treasury portfolios. TradeRisks also provide middle office reports such as current and projected counterparty credit exposure and collateral utilisation, option exercise probabilities for structured swaps, cashflow projections, and performance measurement relative to customised benchmarks. Through TradeRisks our clients have secure access to to view, model, and run reports and scenario analyses on their debt and derivatives portfolios.

TradeRisks provides one of the most advanced risk management systems for corporate borrowers. It provides day-to-day treasury and cash management functionality together with long term portfolio management projections and analysis:

key user task management, highlighting LIBOR payments, cancellable swap dates and cancellation probabilities, availability period dates, etc;
analysis of the entire portfolio, sub-portfolios, individual debt and derivatives;
a central depository of all loan documentation including all embedded fixes and stand-alone swap confirmations;
duration and interest rate/credit and volatility sensitivity;
cashflow gaps at monthly or annual intervals;
unutilised facilities and drawn debt maturity gaps showing the currencies, fixed, floating and inflation linked profile through time;
option exercise probabilities;
derivatives credit exposure per counterparty;
derivatives security utilisation per counterparty;
expected margin calls per derivatives counterparty;
investment portfolio performance relative to a LIBID based benchmark; and
debt portfolio performance report relative to a customised fixed, floating and inflation linked benchmark, determined from the optimisation of the debt portfolio mix

Debt Portfolio Optimisation »