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Stabilize Cash Flows and Safeguard Portfolio Performance

Quantify exposure, assess curve scenarios, and design targeted hedging strategies that strengthen corporate balance sheets and stabilize fund returns.

Deaglo Interest Risk Analysis

What We Help You Solve

We unify fragmented exposures, quantify risk with clear metrics, and align hedging decisions to a portfolio-level framework.

Unclear Rate Exposure

Fragmented debt across facilities, currencies, benchmarks and reset dates.

No quantified view of risk

Decisions made without clear numbers around CFaR, DV01, IRR, or P&L impact.

Ad-hoc hedging

Swaps, caps and collars put on in isolation, without a portfolio-level view.

Weak board-level narrative

Limited ability to explain “How much risk we’re taking” and “What we’re doing about it.”

Interest Rate Risk Management Built for Corporates

Rate volatility directly impacts portfolio yield, borrower health, and mark-to-market valuations. Floating-rate portfolios benefit from higher income — but also carry higher default correlation. Fixed-rate assets lose value as yields rise. Funds need a disciplined framework to balance income, duration, and downside protection.

Quantified Risk, Not Assumptions

Translate rate exposure into measurable financial impact.

  • Cashflow-at-Risk (CFaR) to quantify volatility in interest expens

  • Duration and DV01 to measure sensitivity to curve movements

  • Scenario analysis across base, stressed, and forward-rate environments

  • Direct linkage to P&L, cash flow, and valuation outcomes

Disciplined, Targeted Hedging Execution

Stabilize funding costs with purpose-built strategies.

  • Structured use of swaps, caps, and collars based on portfolio needs

  • Hedging decisions informed by quantified risk and defined appetite

  • Avoidance of isolated, transaction-driven hedges

  • Ongoing evaluation of hedge effectiveness as markets evolve

Defined Risk Appetite and Guardrails

Align rate risk decisions with liquidity and covenant constraints.

  • Clear thresholds for acceptable earnings and cashflow volatility

  • Alignment with liquidity buffers, leverage ratios, and covenant limits

  • Frameworks that support treasury, finance, and executive alignment

  • Documented risk parameters to support governance and audits

Board-Ready Insight and Decision Support

Turn analytics into confident, defensible decisions.

  • Clear narratives explaining risk levels and mitigation strategies

  • Visual, executive-level reporting aligned with board expectations

  • Transparent rationale behind hedging actions and outcomes

  • Strong documentation to support oversight, governance, and accountability

Interest Rate Risk Management Built for Funds

Rate volatility directly impacts portfolio yield, borrower health, and mark-to-market valuations. Floating-rate portfolios benefit from higher income — but also carry higher default correlation. Fixed-rate assets lose value as yields rise. Funds need a disciplined framework to balance income, duration, and downside protection.

Portfolio-Wide Rate Visibility

See your full interest rate exposure in one place.

  • Consolidated view across floating and fixed-rate assets at the deal, vehicle, and portfolio level

  • Coverage across benchmarks, currencies, tenors, and reset profiles

  • Clear mapping of rate sensitivity by strategy, fund, and underlying asset

  • Ongoing visibility as portfolios evolve and rate environments change

Defined Risk Appetite and Guardrails

Align rate risk decisions with mandate, liquidity, and return objectives.

  • Clear thresholds for acceptable volatility in income, NAV, and IRR

  • Alignment with fund mandate, liquidity profile, and target return parameters

  • Structured frameworks to support IC, risk, and portfolio-management alignment

  • Documented risk limits to support governance and LP oversight

Quantified Risk, Not Assumptions

Translate rate exposure into measurable investment impact.

  • DV01 and duration to quantify sensitivity to curve movements

  • IRR and present value impact under parallel and non-parallel curve shifts

  • Scenario and curve-shock analysis across base, stressed, and forward environments

  • Direct linkage between rate movements, income, valuations, and fund performance

Disciplined, Portfolio-Level Hedging

Stabilize income and manage volatility with purpose-built overlays.

  • Structured use of swaps, caps, and collars applied at the portfolio level

  • Hedging decisions driven by quantified risk and defined risk appetite

  • Reduction of mark-to-market volatility and income dispersion

  • Ongoing assessment of hedge effectiveness as market conditions evolve

IC- and LP-Ready Decision Support

Turn analytics into confident, defensible investment decisions.

  • Clear narratives explaining portfolio risk, hedge rationale, and outcomes

  • Institutional reporting designed for ICs, LPs, and risk committees

  • Transparent documentation of assumptions, scenarios, and decisions

  • Consistent audit-ready materials supporting governance and accountability

Our Interest Rate Risk Framework

A structured, data-driven approach that gives corporates and funds clarity, control, and discipline across all interest-rate exposures.

1

Understand the full 
picture acting

  • Map all floating and fixed-rate positions: term loans, revolvers, facilities, structured notes.

  • Classify by benchmark (SOFR, SONIA, ESTR, SAIBOR), tenor, currency, and reset frequency.

  • Distinguish borrower vs. lender exposures and apply the right metrics.

Technology That Strengthens the Framework

We unify fragmented exposures, quantify risk with clear metrics, and align hedging decisions to a portfolio-level framework.

Deaglo Interest Risk Analysis
  • Centralized data for debt, derivatives, and curve sets

  • Automated scenario engines for parallel and non-parallel curve shocks

  • Dashboards tracking CFaR, DV01, duration, IRR, and thresholds in real time

  • Board-ready reporting that turns complex analytics into clear recommendations

The Deaglo Advantage

Institutional-grade analytics

Frameworks grounded in market practice, not textbook theory.

Independent perspective

We are not a bank selling derivatives; we advise on what is right for you

Integrated advisory and technology

Strategy, execution support, and ongoing monitoring in one place

Board-level communication

Clear narratives supported by hard numbers

Your Partners in Risk and Returns

Matheus Zani.png

Matheus Zani

Risk Management LatAm

Managing Director

Jonathan Harvey.png

Jonathan Harvey

Risk Management North America

Managing Director

Deaglo partners with leading private equity, private credit, real estate, infrastructure, and venture funds to design, execute, and monitor disciplined FX risk programs delivering institutional-grade control, reduced volatility, and stronger investor confidence.

Victoria Carbone

Victoria Carbone

Risk Management LatAm exBR

Senior Fund Specialist

César Cote.png

César Cote

Risk Management LatAm exBR

Senior Associate

Vinicius Rossini

Vinicius Rossini

FX Risk Management Brazil

Associate

Frequent Asked Questions

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Jersey City, USA

1078, Summit Ave. PMB 837

São Paulo, Brazil

Rua Patizal, 76

Vila Madalena

Mexico City, Mexico

Paseo de la Reforma, 296

Torre Reforma Latino

© 2025 Deaglo Inc. All Rights Reserved. Deaglo Inc. is a company registered in the United States (registered no. 88-2693379). 1078, Summit Ave. PMB 837, Jersey City, NJ 07307.​

Deaglo, Inc. (“Deaglo”) is a registered Commodity Trading Advisor with the U.S. Commodity Futures Trading Commission (CFTC) and a Member of the National Futures Association (NFA). Deaglo’s CTA registration is effective according to an exemption that limits clients to those who are Qualified Eligible Persons as defined in CFTC Regulation 4.7. Futures, options, FX, and swaps trading involve substantial risk and are not suitable for all clients. Therefore, clients should carefully consider their financial condition before deciding whether to invest and transact in these markets. PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. ​This material should only be considered current as of the date indicated on each page of data without regard to the date on which you may access the information. Deaglo maintains the right to delete or modify information without prior written notice.

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