Benchmarking a Swap Rate with a Bank

Benchmarking with a bank helps you compare swap rates using consistent profiles and methodologies. Here’s a step-by-step guide to conducting a benchmarking exercise:

1. Schedule a Benchmarking Session:

   • Contact your chosen bank and agree on a time for the exercise.

2. Share Your Notional Profile:

   • Provide the bank with your notional profile in Excel format a few hours in advance to ensure they have time to generate rates.

3. Request Key Rate Information:

   • Ask the bank to supply:

     • Mid-Swap Rate

     • All-In Rate (Mid Rate + Execution Spread + Credit Spread)

4. Use BlueGamma for Analysis:

   • Log into BlueGamma and input the same notional profile into the Swap Pricer tool. Follow this guide

Swap Pricer

Compare the rates provided by the bank with the indicative rates generated by BlueGamma.