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AI agent for treasury analysts

Hedge Roll and Maturity Agent

Every maturing hedge has an approved decision that keeps coverage within the policy band

DecisionsRisk managementFinance
See how it worksGet access
Hedge Roll and Maturity Agent: what goes in, what the agent does and what you get

What it does

A hedge that matures with no plan leaves the company exposed, and one that no longer matches the forecast is a waste. This agent lists hedges maturing in the coming weeks. For each, it compares the hedged amount with the updated forecast exposure and the hedge ratio set in policy, and calculates the gap. It then proposes one of three actions: roll the hedge forward, extend it with a new maturity, or let it expire because the exposure is gone. It checks the proposal against policy and limits, such as maximum tenor, dealer limits and ratio band. If the proposal fails, it revises and checks again. The treasurer approves before any trade is sent to the dealer. Edge case: a forecast that moved from euros to pounds suggests closing the old hedge, not rolling it.

How it works

Follow the arrows from top to bottom. The orange dashed arrow is the loop: when a check fails, the agent goes back and tries again.

Start and resultWhat it doesA check on its own workWaits for your OKGoes back and retries
Yes, continueYes, continueApprovedNoNo 1 STARTS WHEN Weekly check of the hedge register 2 USES A TOOL List hedges maturing within 30 days 3 USES A TOOL Read the latest exposure forecast by currency 4 DOES Calculate target hedge and the gap for each position 5 DOES Propose roll, extend or expire with amount and date 6 CHECKS THE RESULT Does the proposal fit policy ratio, tenor and dealerlimits? If not: revise the amount or tenor and propose again.Back to step 4. 7 USES A TOOL Fetch forward rates and estimate the cost of eachproposal 8 CHECKS THE RESULT Does the final hedge ratio land inside the policyband? If not: adjust the amount and recompute the ratio. Backto step 4. 9 YOU APPROVE Treasurer approves each trade before it goes to thedealer 10 RESULT Hedge decision log and updated register
Read the steps as a list
  1. Weekly check of the hedge register
  2. List hedges maturing within 30 days
  3. Read the latest exposure forecast by currency
  4. Calculate target hedge and the gap for each position
  5. Propose roll, extend or expire with amount and date
  6. Does the proposal fit policy ratio, tenor and dealer limits?If not: revise the amount or tenor and propose again. Back to step 4.
  7. Fetch forward rates and estimate the cost of each proposal
  8. Does the final hedge ratio land inside the policy band?If not: adjust the amount and recompute the ratio. Back to step 4.
  9. Treasurer approves each trade before it goes to the dealerThe agent waits here for your OK.
  10. Hedge decision log and updated register

How it decides

The target hedge is forecast exposure times the policy ratio. If the existing hedge is within the allowed band, it rolls it. If exposure fell, it proposes a partial or full expiry.

  • Roll when the hedge is within the band of the target
  • Expire or reduce when forecast exposure fell by more than 20%
  • Cap tenor at the maximum in policy
  • Skip a dealer that is at its limit and use the next one

Make it yours

Every agent is a starting point. You choose these settings for your own situation.

  • Hedge ratio and band by currency
  • Look-ahead window (default 30 days)
  • Dealer list and limits
  • Maximum forecast age (default 7 days)

What keeps you in control

It always asks you first

  • Every trade sent to a dealer

Hard limits

  • Never sends a trade to a dealer
  • Never exceeds the policy ratio or dealer limits

It stops when

  • Done: every maturing hedge has an approved decision
  • Stop: the exposure forecast is older than the set age

Set it up

We guide you through the set-up, step by step

Members get the full set-up guide for this agent. No technical skills needed: you copy, paste and upload.

10 minto set it up in your AI
5 AIsChatGPT, Claude, Copilot, Gemini, Grok
  • One set of instructions to paste into your AI, with the clicks for ChatGPT, Claude, Microsoft 365 Copilot, Gemini and Grok
  • The agent then walks you through connecting your own data, one source at a time
  • A downloadable copy with the flow chart, the rules and the full guide
Get access to this agent

An example run

What happensA EUR 3 million forward matured on May 20. The new forecast showed exposure of EUR 1.8 million against a policy ratio of 75%, so the target was EUR 1.35 million. The first proposal, a full roll, failed the ratio check at 167%. The agent proposed rolling EUR 1.35 million for 3 months and letting the rest expire. The treasurer approved.

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