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.