# FIAGRO and agri FIDC: collateral hedging and marking | UHEDGE

> Managing the price leg of FIAGRO and agri FIDC collateral: hedging, mark-to-market and documented methodology for the fiduciary administrator.

Canonical: https://uhedge.com.br/en/para-quem/fiagro-fidc-agro

## FIAGRO and agri FIDC: collateral hedging and mark-to-market

Part of the portfolio's default rate is not credit risk. It is unmanaged price risk.

For FIAGRO and agri FIDC managers, the collateral's price leg is run by a CVM-authorised manager, with mark-to-market and a documented methodology for the fiduciary administrator. A loan to a farmer is approved based on collateral, repayment capacity and history. None of that changes over the season, and monthly monitoring stays consistent with what was approved. Meanwhile, the exchange reprices the pledged commodity every session until maturity. When defaults appear, the review goes to credit policy rather than to the one factor that actually moved.

### How the exposure works

- In a Financial CPR, the farmer's obligation tracks the commodity price to maturity. A significant rally increases the obligation and erodes repayment capacity, with nothing changed in the original credit analysis.
- With physical collateral or a pledge, the effect is the opposite: a price fall does not reduce exposure, it consumes the coverage of the transaction.
- Managing that leg in-house would require a desk, a system and a team whose cost rarely fits in the fund's management fee.

### How delegated management works

- Portfolio diagnostic: No cost, no commitment: risk decomposed by factor across live transactions and simulation of a price shock on coverage.
- Risk governance agreement: A mandate with parameters, limits and objectives in writing, consistent with the fund's policy and bylaws.
- Active management: Trading the collateral's price leg, with proprietary models calibrated by commodity and producing region.
- Monitoring and accountability: Daily position and performance reports, return attribution and an immutable audit trail for due diligence.

### What the manager gains

- Price-driven defaults stop being an unmanaged event.
- A market risk layer without building a desk.
- Documented methodology, presentable to the fiduciary administrator.
- Capacity to originate deals currently declined on price risk.

### What stays with the manager

- Origination, the credit decision and the investor relationship remain entirely the manager's.
- Delegated management runs under a structure already authorised by the CVM, with no additional regulatory exposure for the fund.
- It coexists with the risk system and administrator reporting already in use.

### Hedge management track record

- Hedge alpha: 2.6 c$/lb. Average reduction in hedge price versus a passive futures lock.
- Information Ratio: 3.5. Consistency of alpha generation adjusted for tracking error.
- Sharpe Ratio: 1.40. UHEDGE commodities fund, absolute return.

### An alternative for those who prefer to manage in-house

For managers who prefer to internalise, we license the UHEDGE CTRM: daily marking of positions, physical curves with location basis, VaR decomposed by factor, mandate compliance and deviation alerts before a breach.

### Suggested next step

A no-cost portfolio diagnostic. We only need the list of live transactions with commodity, volume, region and maturity, and we return the risk decomposition by factor and the effect of a price shock on coverage. Funds in a pre-operational phase are usually the best moment for this conversation, because the risk policy is still being defined.

Track record: results of UHEDGE managed hedge portfolios, measured against a passive sugar futures (ICE) benchmark over an auditable historical series. The commodities fund began operations in November 2024. Calculation memo and methodology available on request. On CPR: the variation of the reference price between issuance and maturity is cited in sector legal analyses as a relevant driver of default in Financial CPRs not protected by hedging. References available on request.

### Frequently asked questions

- What is a FIAGRO? A Brazilian regulated fund for agro-industrial supply chains, investing in receivables, rural real estate and agribusiness financial assets.
- Why hedge the collateral of an agri FIDC? Because the collateral is grain or grain-indexed receivables: if the price falls, both collateral value and the originator's ability to pay fall with it.
- Does hedging conflict with the fiduciary administrator? No. The methodology is documented and auditable, with mark-to-market and reporting in the format the administrator requires.

## Who leads and notes

### Who leads it

Rafael Lins dos Anjos, founding partner. Mechatronics Engineer from Poli-USP, with master's degrees in Economics from Insper and in Finance from London Business School. Around twenty years in global banks and commodity merchants, including Santander, Macquarie in London, Banco Pine and ED&F Man, where he headed the global OTC desk. CGA and CGE certified by ANBIMA.

### Sources and notes

Track record: results of UHEDGE managed hedge portfolios, measured against a passive sugar futures (ICE) benchmark over an auditable historical series. The commodities fund began operations in November 2024. Calculation memo and methodology available on request.

Past performance is no guarantee of future results. Informational material only; not a public offering, an investment recommendation or a guarantee of results. Derivatives transactions involve risk of loss. The terms of each service are defined by contract.

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