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- Portfolio and MTM reporting
Value every hedge, with every provider, on one basis
Portfolio and MTM reporting brings positions held with Vantry and with other banks and brokers into one book, values them at indicative mid rates and sets each one beside the exposure it covers.
Vantry ATI DUDemonstration user | Provider | Notional | Trade rate | MTM (CAD) |
|---|---|---|---|
| Vantry Capital | $1,200,000 | 1.3985 | +$15,000 |
| Bank A | $800,000 | 1.4010 | +$12,000 |
| Vantry Capital | $1,100,000 | 1.3962 | +$11,220 |
| Bank A | $800,000 | 1.3990 | +$10,400 |
| Vantry Capital | $1,000,000 | 1.3940 | +$8,000 |
| Bank B | $700,000 | 1.3905 | +$3,150 |
What is the hedge book worth, and what does it cover?
Bank statements value each bank's trades on its own basis and say nothing about exposure. The position summary shows every open hedge in one list, with its indicative value and the coverage it provides.
- Forwards, options and structures with Vantry and with other providers
- Filter by provider: all, Vantry only, or other providers
- Aggregate view, or by hedge layer
- Hedge ratio, weighted average rate and unrealized MTM
- Trades with other providers entered directly, or read from confirmations and trade schedules after review
- PDF and CSV exports for management, auditors and lenders
Know the rate you still need
Budget rate analysis takes a layer's hedges at their booked rates and the exposure still open, and shows the rate the remainder must achieve for the layer to average its budget, the probability of achieving it, and the blended result across a range of rates.
- Filled in from the layer's hedges and current market data
- A sensitivity grid of blended rates and results against budget
- Fiscal year views, with a suggested budget rate for each year
- PDF and CSV exports
Vantry ATI DUDemonstration user | Rate | Blended rate | Result vs budget |
|---|---|---|
| 1.3900 | 1.3833 | +$177,220 |
| 1.3800 | 1.3779 | +$136,220 |
| 1.3700 | 1.3725 | +$95,220 |
| 1.3600 Budget | 1.3671 | +$54,220 |
| 1.3500 | 1.3617 | +$13,220 |
| 1.3400 | 1.3563 | −$27,780 |
| 1.3300 | 1.3510 | −$68,780 |
What a market move would cost
The stress tests run on the same positions as the valuation, so the answer to "what if the rate moves ten percent?" matches the book you report.
Hypothetical moves
Moves of 5%, 10% or 20%, or a size you choose, applied pair by pair and net of hedges.
Gross exposure
How the underlying exposure responds to rate moves before hedges.
Pairs together
How currency pairs move together, and the diversification it implies in Value at Risk terms.
Historical scenarios
The 2008 financial crisis, the 2014 ruble collapse, the 2015 Swiss franc move, the 2016 Brexit vote and the 2020 pandemic.
Indicative, consistent and stated plainly
Valuations in ATI are for oversight and reporting. They are labelled as indicative and are not a firm quote or a settlement value.
Mid rate basis
Positions are valued at mid rates that refresh through the trading day. They are not streaming prices.
Positions with other providers
Valued against Vantry's current market rates, so they can differ from the counterparty's statement. ATI does not reconcile against counterparty records.
Currency treatment
Positions are reported pair by pair and totalled in a display currency you choose. Exposures in different currency pairs are never netted against each other.
The rest of the picture
Facility Limit Management
The credit each position uses, by provider.
Vantry ATIHedgeCore
Hedge layers, coverage targets and gap analysis.
SolutionRisk visibility and reporting
How consolidated reporting changes the conversation with management.
Learning centerBudget rates and forecasting
Setting a budget rate and measuring against it.
See your hedge book valued in one place
We will show how a book like yours, with positions at several providers, is valued, stress tested and reported in Vantry ATI.