Yield Profiles - Hybrid Hedging Yields by Rule

Hedging yield profiles allow you to analyse the performance of each hedger and the underlying rules to understand which are the most cost effective and which require tuning.

In Echo, we can load external yield profiles to view our flow out to LPs. We can then filter by market, and select our hedging models to view hedging yield profiles. Yield profiles are viewed from the house perspective so spread is expected to be negative as we are trading on external rates.

We can then use groupings to determine which hedging rules were triggered for each selection of flow. These rules can be cross-referenced against the Hedger Config, under the Risk management tab of Compass, to determine which rules may need tuning to optimise our hedging strategy, e.g. a specific hedging rule is too sensitive and triggering too often, or a hedging rule is not clearing risk as quickly as we would like.