Derivative Portfolio Monitoring for End-Users


BLX can assist end-users of interest rate swaps with their on-going monitoring and compliance requirements... from internal risk management reporting, to accounting standards and Dodd-Frank regulations.


Interest rate swaps and other derivatives entered into by governmental and non-profit entities (“end-users”) are typically long-term, customized transactions, which, by their nature, change in value and, often, effectiveness over time. Swaps have become an important tool in managing interest rate and other risks and are viewed by investors, accountants, and rating agencies as an integral part of an entity’s debt portfolio.

But swaps are not without their risks. Given the events of the 2008 financial crisis, now more than ever, end-users are concerned with mark-to-market values, collateral posting, and counterparty credit exposure on an on-going basis. In addition, internal reporting, accounting, and compliance responsibilities have increased significantly with the adoption of best practice policies, the advent of accounting standards such as GASB 53, FAS 133 (Topic 815), and FAS 157 (Topic 820), and the implementation of rules under the Dodd-Frank Wall Street Reform and Consumer Protection Act.

BLX created BLXSwap to help its clients monitor their swap portfolios by providing a centralized platform that provides all of the information necessary for reporting and compliance purposes. BLXSwap’s sophisticated software utilizes daily market data to calculate all key information, including mark-to-market valuations. Clients can access information regarding their swap transactions at any time, from any internet connected computer, or can receive information by email on a fixed or trigger based schedule.

BLXSwap is a key part of BLX’s Swap Advisory and Accounting Compliance Services Group, which offers a wide range of derivative-related services including transaction structuring and pricing, termination and restructuring advisory, and derivative accounting compliance services. Our experienced professionals take a hands-on approach to each engagement, and strive to offer our clients an unparalleled level of service and value.

Key Features of BLXSwap

  • Daily valuations of swap transactions
  • All valuations done on a per-transaction, per-ISDA, and portfolio basis
  • Current collateral posting requirements
  • Portfolio statistics including average life, on-market rate, DV01, and PV01
  • Upcoming and historical payment schedule
  • Historical valuation and related data for the portfolio
  • Comprehensive alerts via email based on customized valuation thresholds, collateral requirements, and/or counterparty ratings


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Sample Screenshots
[click to enlarge]


BLXSwap Screenshot- Dashboard


An overview of the swap portfolio.

BLXSwap Screenshot- ISDA Detail


Summary of the transactions and ratings-based collateral thresholds and termination events under each ISDA.

BLXSwap Screenshot- Swap Detail


Summarizes terms and displays market valuation of each trade. Other details such as historical cashflow and historical valuations are available in additional tabs.

BLXSwap Screenshot- Accounting


Provides information about any hedged item associated with the transaction and an analysis of the historical performance of the hedge. BLX-prepared accounting and monitoring reports (if applicable) are also shown on this tab.