Recent work undertaken by Tokenhouse includes:
A non-bank lender asked Tokenhouse to evaluate their swap hedging program. Upon investigation, it transpired the lender had been executing swap hedges at levels in excess of a commercial spread over an extended timeframe. Armed with these findings, the lender was able to re-negotiate more favourable terms on some facilities including significant fee reductions. Swap execution charges were also re-negotiated lower resulting in a seven-figure annual swap execution saving. Tokenhouse continue to provide ongoing pre-trade pricing services, post-trade valuation and hedge accounting support to the client.
A non-bank lender requested assistance with a number of regulatory inquiries relating to a complex legacy issue. We were able to assist by recreating historical pricing events, distil and explain the relevant quantitative concepts and draft responses to the regulators as and when required. This work contributed to a favourable outcome for the client.
An ADI requested assistance in maturing their management of interest rate risk in the banking book exposure (IRRBB). This piece of work spanned drafting ALCO policy documentation and selecting risk reporting metrics through to advice on ISDA commercial terms, hedge spread negotiation and execution. Our experience in running and managing both Traded and IRRBB.
A client approached Tokenhouse for assistance in quantifying and managing exposure to negative interest rates in their New Zealand loan book. Bank funders recently inserted credit-margin loan floors into the client’s facilities, effectively placing the lender in a short 0% floor position. If the RBNZ implements Negative Interest Rate Policy, it will reduce NIM on the loan book. We were able to quantify the exposure and identify ways the hedging policy could be modified to reduce this unwanted and potentially costly exposure.
Reviewing the derivative portfolio of a large challenger bank in light of regulatory developments in derivative credit margining including IOSCO, EMIR and Basel 3. The review included a cost benefit analysis on the impacts of Initial Margin Clearing and migrating the portfolio to Central Clearing Houses.