Detailed analysis of a swap contract restructuring project for an investment fund
An investment fund with assets over 50M EUR faced increased exposure to interest rate fluctuations. The 12 active swap contracts had major imbalances in maturities and inefficient cost margins, generating operational losses of approximately 2.3% annually.
We applied a complete financial diagnostic using our asset correlation tools. We mapped each swap contract on the yield curve, identifying 7 contracts with renegotiation potential. We proposed a strategy for cash flow netting and maturity realignment.
Over 6 weeks, we coordinated the renegotiation of 5 swap contracts with counterparties, optimizing interest margins by 0.8%. We implemented a real-time exposure monitoring system and updated internal audit procedures for foreign exchange contracts.
Annual cost reduction of 1.7% (equivalent to 850,000 EUR), elimination of 3 inefficient contracts, and a 22% improvement in the portfolio risk score. The fund reported a net yield increase of 1.4% in the first quarter post-implementation.