Collateral management for your swap CSAs
Check every margin call against your own number before cash moves, and agree the interest on your cash collateral to the penny. Built for banks, building societies and corporates hedging with bilateral interest rate swaps.
In early access. On a call we set it up on your own agreements with you.
Banks and building societies
Hedging a fixed-rate lending book with pay-fixed swaps under CSAs with a handful of dealer banks.
Corporates and funds
Posting or holding cash variation margin on bilateral interest rate swaps.
Teams running it in Excel
Rebuilding the call and the interest statement in a spreadsheet each day and each month.
01 · Margin calls
Check the call before you post.
Your counterparty’s notice says what to pay. We work out the same call from an independent valuation and the terms in your CSA, laid out like their notice, so you can challenge a line before cash moves rather than after.
Independent exposure
Every swap under the agreement valued at 6pm on our curves, with the day’s biggest movers.
Your CSA terms applied
Threshold, minimum transfer amount, independent amount and rounding, per counterparty.
Ours next to theirs
The difference is shown line by line, so you know whether it is the valuation or the terms.
Agreed and settled
Record the agreed amount and the settlement, so the balance you hold is always current.
| Agreement | Our 6pm MtM | VM held | Movement | Closing VM | Status |
|---|---|---|---|---|---|
| Bank A | 3,412,500 | 2,900,000 | Receive 520,000 | 3,420,000 | Their call 40,000 lower |
| Bank B | 1,846,200 | 1,550,000 | Receive 300,000 | 1,850,000 | Agreed · settles 24 Sep |
| Bank C | 412,900 | 250,000 | Under minimum | 250,000 | Nothing due |
Our figures are an early warning. Their notice is what settles.
02 · Collateral interest
Agree the interest to the penny.
Interest on cash collateral is worked out day by day: the balance you hold, that day’s overnight rate and the agreement’s day count, laid out like your counterparty’s statement. Enter their figure and the difference shows straight away.
- Paid monthly · interest settles after month end
- Compounds, paid monthly · each day’s interest earns interest until it is paid
- Added to balance · interest is capitalised into the collateral held
In early access it reproduced a counterparty’s own interest workbook to the penny.
| Date | Movement | Held | SONIA % | Interest | Running |
|---|---|---|---|---|---|
| Thu 01 | · | 2,400,000.00 | 3.7313 | 245.35 | 245.35 |
| Fri 02 | · | 2,400,000.00 | 3.7313 | 245.35 | 490.69 |
| Sat 03 | Friday’s rate | 2,400,000.00 | 3.7313 | 245.35 | 736.04 |
| Sun 04 | Friday’s rate | 2,400,000.00 | 3.7313 | 245.35 | 981.38 |
| Mon 05 | Received 300,000 | 2,700,000.00 | 3.7321 | 276.07 | 1,257.46 |
| + 26 more days | |||||
03 · Positions and month end
One record for every agreement.
Variation margin and independent amounts, every movement with its date and source, and a position statement you can hand to finance at month end. It sits next to the swap valuations, cashflows and accrued interest you already run in BlueGamma.
Position statement
Opening balance, calls, interest and closing balance per counterparty, for any date.
Movement ledger
Every call, transfer and interest payment, with the statement it was agreed against attached.
Excel export
The call worked line by line and the swap-by-swap valuation, ready for review or audit.
What it does
- Bilateral ISDA CSAs on interest rate swaps
- Cash variation margin and independent amounts
- Independent daily valuations to check each call
- Interest on cash collateral, checked against statements
What it doesn’t
- Move cash or send margin calls for you
- Tri-party, repo or securities lending collateral
- Cleared margin at a CCP
- Replace your treasury management system
See it on your own agreements.
Collateral management is in early access. Book a call and we’ll walk through your CSAs, last month’s calls and an interest statement with you.
FAQs
Software that records the collateral agreed under each agreement, works out what should be called or returned, and tracks movements and interest. For a swap user, that means CSA margin calls and the interest on cash collateral.
No. It works out the call and the interest so you can check your counterparty’s figures, and records what is agreed and settled. Payments stay in your existing process.
Cash variation margin and independent amounts under bilateral ISDA CSAs on interest rate swaps.
The same independent swap valuations as BlueGamma’s mark-to-market, taken at 6pm each day, so the call and your month-end marks agree.
It is in early access. Book a call and we will set it up on your agreements with you.