Interest Rate Risk Management Case Study

Interest Rate Risk Management Case Study

  • An Australian fund manager is launching a new AU$1bn property fund with 60% leverage
  • As a condition on the financing 50% of the debt must be hedged.

Rochford was engaged to:

  • Analyse and quantify the risks involved
  • Analyse the swap curve and align hedging strategy with fund objectives
  • Evaluate the hedging solutions available for example swaps and options
  • Manage counterparty negotiations covering pricing, structure, documentation and execution.

Outcomes: 

  • The swaps were executed on significantly more favourable commercial terms than would have otherwise been achieved
  • The swap execution was phased overtime to minimise the neat term impact on distributions/cash flow.