Fixed Income Currency Duration Report

Dynamic currency duration dashboard refreshed instantly from the web

Client

London Asset Manager - Fixed Income

Business Problem

The client, a fixed-income asset manager, needed to generate a consolidated monthly Currency Duration Report to measure currency risk across multiple global bond portfolios. The legacy process was manual, error-prone, and caused reporting delays that impacted compliance and internal oversight.

Previously prepared manually, the process was too slow to meet the time-sensitive needs of the business and lacked flexibility for custom metrics and formatting, hindering the fund managers' ability to manage currency risk and decide on hedging strategies.

Solution Delivered

We developed a fully automated Excel model that imports position-level data, cleans and standardises inputs, and generates a dynamic Currency Duration Report segmented by portfolio and currency. The model features a user-friendly interface with interactive filters and cross-fund currency comparisons.

The solution included:

  • Custom business rules applied to the aggregated data, ensuring meaningful insights.
  • A selection of specific metrics with a maintained custom sort order for currencies, supported by Conditional Formatting to highlight critical values.
  • A one-click email function, allowing reports to be easily shared with fund managers.

Results

  • Eliminated manual data collection — report now generated in minutes from a single click
  • Conditional formatting provides instant visibility of currency exposures exceeding thresholds, removing the need for manual review
  • One-click email distribution to fund managers reduced reporting lag and improved the timeliness of hedging decisions
  • Enabled analysts to run reports on demand rather than waiting for a scheduled batch process

Technology

Excel | VBA | Outlook | REST API | JSON

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