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Level 1/28 Margaret Street




Mary Ann E Rydel
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GTreasury - Risk Management & Hedge Accounting

Risk Management

GTreasury enables risk managers to easily analyze complex data and then design superior risk mitigation strategies. At the core of our Risk Analytics module is the ability to process, analyze, interpret and display data via a unique reporting dashboard. It quantifies market risk sensitivities within your underlying positions and allows you to dynamically analyze and stress test both existing portfolios and potential ‘what-if’ hedging strategies and exposures.

Key Features:

Advanced instrument library

  • Captures exposures across IR, FX, Energy and Commodities.
  • Models and values most financial instruments from vanilla through to exotics.
  • Supports complex derivatives like cross currency swaps, inflation products, exotic options, Asians and Bermudans.
  • Models customized structures.

Reports policy compliance

  • Supports policy metrics like hedge ratios, effective rate targeting and duration.
  • Reports credit risk against policy limits using customizable potential credit exposure calculations.
  • Reports variance from budgets and targets.
  • Enables regular policy review and re-assessment

Forecasting and sensitivities

  • Aggregates and analyses alternative exposure and hedging profiles.
  • Generates long-term cash flow forecasts based on differing market outcomes.
  • Flexes and stresses forecasts with interactive scenarios.
  • Assesses cash flow and valuation sensitivities with ease.

Dynamic visual reporting

  • Applies a unique visual approach to analyze, quantify and report risk exposures.
  • Generates long-term cash flow forecasts based on differing market outcomes.
  • Analytic output is graphically and numerically represented.
  • Provides drill-down capability on underlying instruments and data.

Hedge Accounting

Available as a stand-alone or as a part of the  integrated treasury and risk management solution,  GTreasury’s Hedge Accounting module allows for easy designation of hedges into cashflow, fair value or net investment hedge relationships. It performs all effectiveness testing. From IAS 39, IFRS 9 and IFRS13 to advanced CVA / DVA, the module simplifies the designation and testing of hedge relationships. It will generate and streamline all detailed compliance documentation and accounting entries.

Key Features:

Designates and documents

  • Quickly links interest rate, FX and Commodity exposures and hedges.
  • Generates fully ASU for ASC 815, IAS 39/IFRS 9 compliant hedge documentation.
  • Supports partial allocation of exposures to hedges and time bucketing of exposures.
  • Reports by individual instrument or by portfolio

Tests effectiveness

  • Assessment tests prospectively and retrospectively using regression or dollar-offset.
  • Allows customizable hypothetical derivative for effectiveness testing.
  • Splits option valuation into time and intrinsic value
  • Amortizes excluded components over life of hedge designation.
  • Provides breakdown of effectiveness testing outcomes

Easily handles complexity

  • Handles cross currency swaps and amortizing structures.
  • Delivers defined-range effectiveness tests for options.
  • Can test relationships troubled by basis risk mismatches.
  • Integrates CVA/DVA adjustments into hedge accounting documentation.

Detailed reporting

  • Generates all report outputs for audit purposes.
  • Calculates equity and P&L accounting entries for all relationships.
  • Values exposures and hedges excluding accrued interest, margin or forward points.
  • Provides a full suite of summary reports.

Simplifies ASC 815 disclosures

  • Applies sensitivity analysis with user- defined market shocks. for 10k & Q reporting.
  • Allocates market sensitivity results into potential impact on equity and P&L
  • Generates liquidity risk disclosures using undiscounted cash flows.
  • Calculates counterparty credit risk based on user-defined parameters.

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