Structuring and Hedging Credentials
Corporates, banks and financial institutions
A set of structuring and hedging transactions across utilities, telecommunications, equity finance and cross-border liquidity, each built around the client's regulatory and accounting position rather than around the instrument alone.
Scope of work
SNAM, the Italian utility: a constant maturity swap structure bridging the mismatch between electricity and gas tariffs linked to ten-year government bond yields and a cost of borrowing linked to LIBOR. An automated model built in MATLAB was delivered alongside it so the client could monitor its weighted average cost of capital and hedge performance on an ongoing basis.
LIBOR transition advisory to several banks and corporate service providers on residential mortgage-backed securities, covering a total book of over twenty thousand loans and more than GBP 8 billion, addressing rate selection, spread adjustment and value transfer for both issuers and investors.
Supplier finance for a Chinese telecom supplier, a USD 200 million equivalent structure to a European counterparty:
- The supplier invoices in CNH rather than USD, removing its FX risk
- The European counterparty takes a CNH loan swapped to euro through a cross-currency swap on coupons and final exchange
- Upfront CNH payment enabled, with better financing terms and euro coupons over the life of the loan
- Similar transactions structured using Panda bonds in place of CNH loans
Equity margin finance on Polish equities held by a Russian company, using a repo structure and put option, working through complex takeover code, tax and regulatory considerations.
Trapped liquidity solution designed for the Nigerian subsidiary of a US parent, releasing cash that local conditions had made inaccessible.
Outcome and value
- Exposures hedged at source, at the level of the underlying economic mismatch rather than the instrument.
- Financing costs reduced for counterparties on both sides of cross-border structures.
- Monitoring tools delivered, so clients track hedge performance after execution rather than at the next review.