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Choose a hedge with the full picture in view
HedgeCore measures each exposure against its hedge target, then evaluates the structures your business permits across the modelled range of exchange rates, so forwards, options and structured hedges are compared on the same assumptions and scored against your objective.
Vantry ATI DUDemonstration user | Layer | Target | Coverage | Gap |
|---|---|---|---|
| USD receivables Q1 | 80% | 80% | $0 |
| USD receivables Q2 | 75% | 69% | $350,000 |
| USD receivables Q3 | 70% | 46% | $1,820,000 |
| USD receivables Q4 | 40% | 26% | $920,000 |
Which hedge, for how much, and why
Hedging decisions often compare a forward with whatever a bank proposes that day. Without a common basis it is hard to say whether an option's premium is worth its protection, or what a structure with no upfront premium gives up in return.
Exposure first
Every analysis starts from a hedge layer's open gap: the exposure, the target hedge, and the budget rate and worst case limit set for the period.
One set of assumptions
Each alternative is valued on the same forecast, volatility and interest rates, with the dealing margin included, so differences in results come from the structure, not the inputs.
An explicit objective
You choose what the ranking optimizes for, and the weighting is shown beside the results.
Hedge layers that hold the policy
A hedge layer records the exposure for each period and the terms it is hedged to. Coverage is recalculated against those terms as hedges are added, whoever they are booked with.
- Layers for a single period, several periods, or a continuous rolling program
- For each period: exposure, cash offset, target hedge, budget rate and worst case limit
- Hedges with Vantry and with other providers count toward coverage
- A coverage dashboard with gaps graded minor, moderate or major, by fiscal year
- 95% Value at Risk on the open exposure, and the reduction from hedges in place
- Analyze gap: evaluate structures for the uncovered amount in one step
What happens automatically. In a continuous program, a daily process archives the month that has passed, adds a new month at the end of the window and resets each month's target by its position. No trade is ever placed automatically: gaps are shown for your team to act on.
Budget rate analysis. For any layer, the rate the open exposure still needs for the layer to average its budget, and the probability of achieving it. See budget rate analysis.
Every permitted structure, on one basis
For the gap you choose, HedgeCore prices each permitted structure family across a range of strikes and barriers, models its outcome at expiry across the distribution of exchange rates, and ranks the results on your objective.
Vantry ATI DUDemonstration user | # | Strategy | Exp. value | VaR red. | Score |
|---|---|---|---|---|
| 1 | Forward | +$4,208 | 100% | 100 |
| 2 | Collar | +$3,393 | 94% | 80 |
| 3 | Forward extra | +$3,517 | 90% | 80 |
| 4 | Participating | +$1,814 | 85% | 45 |
| 5 | Seagull | +$314 | 29% | 15 |
| 6 | Vanilla | +$577 | 71% | 14 |
Structures evaluated
Forwards, vanilla options, collars, participating forwards, forward extras (including with bonus), seagulls, trigger seagulls, structures with knock in and knock out barriers, and leveraged and tracker forwards. Dozens to thousands of candidates, depending on the families and grid selected.
How outcomes are modelled
Options are priced with Garman-Kohlhagen, using volatility adjusted for the smile where it is available. Outcomes at expiry are weighted across the distribution of exchange rates under a market implied, bank consensus, blended or custom forecast.
What each result shows
Premium; expected value and probability of profit against converting at spot; reduction in 95% Value at Risk; the probability of beating the budget rate where one is set; and a composite score.
Rank on what matters to your business
The same results can be ranked several ways. The objective is chosen for each run and its weighting is shown beside the results, so the reason a structure ranks first is never hidden.
| Objective | What it emphasizes |
|---|---|
| Balanced | Expected value, with weight on the probability of profit and on reducing the worst outcomes |
| Expected value | The best average outcome |
| Protection | Reducing the worst outcomes |
| Beat budget | The probability of achieving the budget rate |
| Custom | Your own weighting |
Under every objective, a structure with a negative expected value ranks below every structure whose expected value is zero or positive.
Scenario grid
Each structure's result at one and two standard deviations either side of the forward, and at three and five under a stress setting.
Sensitivity to inputs
Expected outcomes run again at lower and higher volatility, and with a shift in the interest rate differential.
Written summary
A written explanation of how each ranked structure behaves, including barrier conditions and any leverage.
Strips across periods
A whole layer can be evaluated as a strip of expiries, rather than one period at a time.
A decision your team makes, and can explain
HedgeCore supports a decision; it does not take one or place a trade. Rankings are labelled as decision support, not a recommendation to execute.
Open in RiskCore
Any result opens in RiskCore for its payoff, outcome distribution and percentiles.
Saved with its inputs
Each run is saved with the forecast and market inputs it used, and results export to PDF.
Notify your dealer
Send a structure to your Vantry dealer for live pricing. This never books a trade.
With our dealing desk
Forwards can be booked in the portal; options and structures are executed by our dealers once you decide.
Where HedgeCore leads
RiskCore
How a chosen structure behaves across outcomes.
Vantry ATIPortfolio and MTM reporting
Valuation of the hedges once they are booked.
SolutionHedging strategy and policy
How HedgeCore supports a repeatable decision process.
Financial servicesHedging instruments
The structures available to execute, and what each gives up.
See how Vantry evaluates hedging strategies
Bring an exposure and a budget rate. We will run it through HedgeCore with you and explain what each alternative gives up.