Hedge accounting software built from the curve up

Hedge accounting is an optional treatment that lets you match the timing of gains and losses on a hedging instrument with the item it hedges, so the income statement reflects the economics rather than the noise. In exchange, the standards require formal designation at inception, documentation of the relationship, and evidence that the hedge is effective — and all of it rests on one input: a defensible fair value for the derivative at each reporting date, which is the part this page is about. For the three hedge models, the implementation steps and the disclosure requirements, see our full guide to hedge accounting.

It’s the valuation half of one, and deliberately not the ledger half. You get IFRS 13 and ASC 820 fair values, clean and dirty, sensitivities and curve shocks, across 30+ currencies and any historical valuation date. What you don’t get is designation memo storage, the effectiveness workflow or journal posting — that stays in your accounting system or your TMS, and we’d rather say so on the website than in an implementation call. Teams run BlueGamma three ways: alongside a hedge accounting system, to replace the bank marks it was being fed; as the valuation engine behind one they’re building themselves; or on its own, where the accounting is done in Excel and the valuation was always the weak link.

The dirty valuation — the full or all-in fair value — is the present value of every remaining cashflow on both legs. The clean valuation takes that figure and strips out the interest accrued since the last payment date, leaving only the forward-looking value. The dirty figure is what has to reach the balance sheet, because fair value is the present value of everything still owed on the contract; how you present it is a policy choice, with some entities putting the whole amount on the derivative line and others carrying the clean value there and showing the accrual separately. Clean is usually the number to hold against a bank mark — but check the basis first, because statements vary and a termination or collateral figure is normally the dirty one.

Both are defensible, and they give different answers. Shocking the par swap curve and re-bootstrapping moves projection and discounting together — the market-consistent view, and the curve you would actually observe if rates moved that far. Shocking the projected forward curve directly, holding discounting fixed, isolates the effect on floating cashflows, which is how many hedge policies and internal limits are written. The gap between them is mostly discounting, plus the fact that a shift in par rates doesn’t come through as an equal shift in the forwards once you re-bootstrap. IFRS 7 asks you to state the methods and assumptions behind the analysis, and to flag any change from last year and why — so pick one, say which, and stick to it. We run both, so you can see the difference before you commit.

Fair value measurement is largely converged — IFRS 13 and ASC 820 both define fair value as an exit price, share the three-level hierarchy, and both require credit risk to be reflected. The divergence is in applying hedge accounting: IFRS 9 dropped the retrospective 80–125% test for an economic-relationship assessment, while ASC 815 keeps a highly effective threshold and still tests at least quarterly, forwards and back. Under IFRS 9 the cash flow hedge reserve is capped by a lower-of test and only an over-hedge charges profit or loss; under ASC 815 since ASU 2017-12 the whole change in the instrument goes to OCI with no separate ineffectiveness line. IFRS 9 requires rebalancing and forbids voluntary discontinuation; ASC 815 has no rebalancing concept and lets you dedesignate at will. US GAAP also limits eligible benchmark rates for fair value hedges to a defined list. The comparison table above sets out all eight side by side.

Not yet. Our valuations today are curve-based and carry no credit valuation adjustment — and we would rather tell you that on the website than in an implementation call. IFRS 13 and ASC 820 both require fair value to reflect credit risk, your counterparty’s and your own, so for some reporting stacks this matters and for others — a fully collateralised book, for instance — the adjustment is immaterial. CVA and DVA are the next thing we’re building. If your auditor has raised it, talk to us; we want the design shaped by the teams who need it first.

Auditors don’t formally approve data vendors. What they test is where the number came from, whether the source is independent of both you and your counterparty, and whether you can show the methodology and curve inputs behind it. A valuation from an independent third-party platform, with a documented construction method, downloadable curve inputs and a dated report archived each period, is a considerably stronger evidence trail than a self-built spreadsheet or your counterparty’s own statement. Several customers adopted BlueGamma specifically ahead of a Big Four or top-tier audit — and the methodology document ships with every trial, so you can put it in front of your auditor before you buy.

Yes. The valuation input is the same whichever framework you report under — a fair value built from a documented curve, as at a stated valuation date, in the currency and conventions of the trade. FRS 102 sections 11 and 12, the IAS 39 hedge accounting requirements (still used by some groups as a policy choice and for portfolio fair value hedges), Ind AS 109 and HKFRS 9 all want the same thing from a data provider. What differs is the treatment applied on top — and that stays with you and your auditor.

Both. Load a single trade to check a bank quote in a couple of minutes, or hold the whole book in the MtM portfolio view and revalue it together. Bullet, amortising and sculpted notional profiles are all supported — paste the schedule straight out of Excel and each trade prices on its actual profile, not a bullet approximation. For recurring month-end runs the Excel add-in prices the same trade as of any date in your workpapers, and swap MtM is available as an API endpoint — so the process gets scheduled instead of repeated.

Yes — it’s one of the two ways the platform is used. Treasury management systems and treasury software vendors licence the API for forward curves, discount factors, fixings, swap curves and FX across 30+ currencies, and build their own hedge accounting module on top. Redistribution rights are agreed in the contract up front, pricing is flat rather than per-valuation, and historic point-in-time curves are included — usually the requirement that stops teams building the curve stack themselves. The methodology document can go straight to your customers’ auditors.