Ingest hedging workbooks
Drop files to inspect — then choose which sheets to parse.
Drop Excel files here
or click to browse · .xlsx / .xls · auto-detects standard formats
No file handy? Load a representative portfolio (105 trades, 10 FX deals, market rates) to explore the dashboard →
Hedge instrument inventory
Filter, search, and inspect every trade · sparkline shows MTM trajectory
Portfolio composition
Treemap of open notional by counterparty & structure
Structure mix
Open notional share
Maturity ladder
Forward 12-month settlement profile by currency
MTM bridge
Waterfall — contribution by currency
Effectiveness heatmap
Bank × Currency · weighted effectiveness ratio
Concentration heatmap
Bank × Currency · open notional (ZAR-equivalent)
Market data inputs
Update spot, forward points, and discount inputs. Effectiveness re-runs use these values.
Spot & forward points by currency pair
Forward points expressed as ZAR (e.g. USD/ZAR spot 18.50 + 3M points 0.18 ⇒ 3M forward 18.68). Leave blank tenors to assume flat curve.
| Pair | Spot (ZAR/FCCY) | +1M pts | +3M pts | +6M pts | +12M pts | Notes |
|---|
Hedged item designation
Forecast FCCY cash flow ladder · auto-derived from inventory
Effectiveness compares actual hedge changes to a hypothetical derivative with identical critical terms.
| Period | Currency | Forecast FCCY | Hedge ratio | Hypothetical fwd (inception) | Notes |
|---|
Run hedge effectiveness
IFRS 9 hypothetical derivative method · per-instrument scoring
Open notional (FCCY)
—
Run effectiveness to populate
Portfolio MTM (ZAR)
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At valuation date
Weighted effectiveness
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Notional-weighted
Ineffective P&L (ZAR)
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Recognised through P&L
Instrument-level effectiveness
Hypothetical derivative comparison · IFRS 9 corridor 80–125%
Source-of-ineffectiveness commentary
Run effectiveness to generate commentary.
Open swaps
—
Upload IRS schedule to populate
Total notional (ZAR)
—
Aggregate book size
Weighted fixed rate
—
vs. JIBAR —
Portfolio MTM (ZAR)
—
Enter JIBAR to value
Ingest IRS schedule
Drop the IRS_Schedule workbook — automatic format detection. Position: pay fixed, receive 3M JIBAR.
Drop IRS schedule here
or click to browse · same format as IRS_Schedule_May_2026.xlsx
Market inputs · MTM revaluation
Update the current 3M JIBAR rate to revalue the book at any point
Per-trade mark-to-market
Pay-fixed/receive-3M-JIBAR position · constant-JIBAR PV approximation
Maturity ladder
Notional rolling off by quarter
MTM by counterparty
Net P&L position by bank
Fixed-rate distribution vs current JIBAR
Trades above the JIBAR line are ITM to the entity (receiving more than paying)
Historical MTM trend
Upload daily 3M JIBAR series to back-test portfolio MTM through time
Drop historical 3M JIBAR Excel here
Two columns: Date · 3M JIBAR (%) — no header row required
Board-grade IRS report
Standalone PDF — MTM status, methodology, recommendations
Combined base MTM (ZAR)
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FX hedges + IRS book
FX book MTM
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Open forward instruments
IRS book MTM
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Pay-fixed/receive-JIBAR
Combined portfolio under stress
Aggregate MTM at each shock level · FX repriced on ZAR spot moves, IRS on JIBAR moves
FX book — ZAR spot sensitivity
Parallel shift applied to all currency pairs · captures gearing curvature
IRS book — JIBAR sensitivity
Parallel JIBAR shift · pay-fixed position benefits from rising rates
FX deal log
Spot conversions, repatriations, loan flows, treasury executions outside the hedging programme
| Date | Type | Entity | Pair | FCCY amount | Rate | ZAR equivalent | Counterparty | Reference |
|---|
Volume by deal type
Volume by currency
Board-grade PDF report
Editorial cover · charts embedded · IFRS 9 effectiveness · recommendations
Report header
Sections to include