Spot your natural hedges
USD revenues and CNY costs often move in step against the euro. They partly offset each other on their own – that is hedging you already own.
Correlation-driven hedging
Hedge less.
Achieve more.
GLORIAnalytics shows how your currencies interact – and where each additional euro of hedging cuts your company’s total risk the most.
Sample portfolio · Sample Industries AG Currency risk over the next 12 months, EUR m
No offset 7.9 Reference scenario: every currency moves against you at the same time – with no offset at all.
Correlation Adjusted 4.6 How your currencies interact under the current correlation assumption – the figure you steer by.
Full offset 2.3 Reference scenario: maximum offset between opposing positions.
Diversification effect in the sample portfolio: EUR 3.3m less risk than if each currency is viewed on its own (−42%). Correlation-driven hedging puts exactly this effect to work.
The principle
Your currencies do not move independently.
Hedge each currency on its own and you often hedge more than you need – sometimes even against yourself. Correlation-driven hedging looks at the portfolio as a whole.
Measure total risk
GLORIAnalytics links all your cash flows, through the current interplay of your currencies, into one figure: Correlation Adjusted – with No offset and Full offset alongside as reference scenarios.
Hedge where it works
For every currency you see how much the next million hedged lowers your total risk. So your hedging volume goes where it has the greatest effect.
Sample portfolio
Six currencies. One risk – and it is smaller than the sum.
The fictitious Sample Industries AG reports in euros, sells in USD, GBP and JPY and buys in CNY, CHF and PLN – EUR 108m of cash flows over twelve months in total.
Sum of individual risks Offset between currencies Total risk
- USD 3.5
- CNY 1.6
- GBP 1.2
- JPY 0.7
- CHF 0.5
- PLN 0.4
The portfolio effect lowers the reported risk by EUR 3.3m. How much hedge volume this can save is shown in the hedging simulation.
Cash flowsPayments ← EUR m → Receipts
USD +48.0
CNY −22.5
GBP +14.2
CHF −9.8
JPY +7.6
PLN −6.1
Gross 108.2m Net +31.4m
Fictitious example, illustrative values.
The lever
Where the next million does the most.
Effect of EUR 1m of additional hedging per currency on the Correlation Adjusted risk of the sample portfolio.
USDReceipts
−61k GBPReceipts
−44k JPYReceipts
−27k CHFPayments
−9k PLNPayments
−4k CNYPayments
+23k EUR thousands, standard confidence level. Fictitious example.
Same volume, more impact
EUR 10m of hedging, targeted in USD: risk falls from 4.6 to 4.0m
The same 10m spread evenly across all currencies: only to 4.3m
Not every hedge helps
The CNY payments partly offset the USD receipts. Hedge them in isolation and that offset disappears – total risk goes up. GLORIAnalytics shows you this before you deal.
The nuances
Precise where others simplify.
A risk figure is only as good as the assumptions behind it. Four details that make the difference.
Market-based, not backward-looking
The ranges of movement reflect the FX market’s current expectations – based on market-traded data, updated hourly. The relationships between currencies are recalculated daily. So your risk reflects today’s market rather than a rigid average.
Every payment on its own date
Each cash flow is valued at the forward rate for its maturity date and considered exactly up to that day. A payment due in six weeks typically carries less exchange-rate uncertainty than one due in eleven months.
| USD payment | Due | Forward rate | Risk |
|---|---|---|---|
| 5.0m | 15 Jan 2027 | 1.1450 | EUR 0.21m |
| 5.0m | 15 Jun 2027 | 1.1510 | EUR 0.35m |
| 5.0m | 15 Sep 2027 | 1.1560 | EUR 0.42m |
Both directions, separately
The market does not price a stronger and a weaker euro the same way. That is why we show both scenarios separately – instead of one symmetric range.
Euro strengthens −4.6m Adverse
Euro weakens +4.1m Favourable
Three figures, not one
No offset and Full offset show two reference scenarios; Correlation Adjusted shows the risk under the chosen correlation assumption. You see not only the result, but also how strongly it depends on assumptions about how your currencies interact.
Compared
From reporting-date snapshot to active steering.
| Static, historically calibrated risk calculation | GLORIAnalytics | |
|---|---|---|
| Market data | Historical time series over several years | Current market expectations from market-traded data, updated hourly; correlations daily |
| Valuation | One spot rate on the reporting date | Forward rate per maturity, risk up to each payment date |
| Direction | Symmetric range | Stronger and weaker euro shown separately |
| Result | One figure | Three figures plus the impact of each additional hedge |
| Frequency | Quarterly report | Any time, on current market data |
Integration
Complements your treasury system. Does not replace it.
Your planning and your deals stay where they are. GLORIAnalytics reads them in and adds the risk view on top.
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Upload
Your cash-flow plan and hedges as an Excel or CSV file – including your banks’ deal lists with bought and sold currency.
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Map
The import assistant recognises columns, date and number formats on its own. Intercompany loans and account balances can be captured separately.
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Steer
Risk, lever per currency and changes at a glance – for the next hedging decision and the next report.
Frequently asked questions
Good to know.
What does “correlation-driven” mean?
The hedging decision is based on the total risk of the portfolio – that is, on how your currencies move together – rather than on each currency on its own.
Why does GLORIAnalytics show three risk figures?
No offset and Full offset are two reference scenarios: no offset at all, and maximum offset between opposing positions. Correlation Adjusted shows the risk under the chosen correlation assumption. The gap between them shows how much of your risk depends on how your currencies interact.
Where does the market data come from?
The ranges of movement are based on market-traded data and reflect the FX market’s current expectations; they are updated hourly. Correlations between currencies are recalculated daily.
Do I have to replace my treasury management system?
No. GLORIAnalytics complements your existing system. Data comes in via Excel or CSV import; deal processing stays exactly as it is.
What does “standard confidence level” mean?
The default setting uses market-based scenario boundaries for a stronger and a weaker euro. These serve to assess risk and should not be equated with an exactly calibrated statistical confidence level.
How quickly will I see my own portfolio?
In the demo we upload your cash-flow plan together. You see the result – risk and lever per currency – in the same session.
Your portfolio. Correlation-driven.
Bring your cash-flow plan. In 45 minutes we show you where your hedging does the most.