Ctrlk

Swap Mark-to-Market

The Mark-to-Market (MtM) value of a swap represents the current net value of the swap's cashflows, calculated using prevailing market interest rates. Here's how to value your swaps in BlueGamma.

The Swap MtM module lets you value existing interest rate swaps using live market data. You can organise swaps into entities (e.g. by project or counterparty), track portfolio-level exposure, and drill into individual swap valuations.

If you need to price a new swap (i.e. calculate the par rate), use the Swap Pricer instead.

1. Navigate to the Swap MtM module

The landing page has two tabs:

  • Entities — group swaps by project, borrower, or counterparty. Each entity shows an aggregated MtM across its swaps.

  • Swaps — a flat list of all your swaps with key columns: Name, Bank, Created, Currency, Start/End Date, Swap Rate, Mid Rate, and MtM.

Swap MtM landing page showing the Swaps tab with columns for Name, Bank, Created, Currency, Start Date, Maturity, Swap Rate, Mid Rate, and Mid MTM

2. Add a Swap

  1. Click the + Add New button.

  2. Choose Add New Swap (or Add New Entity to create a project first, then add swaps within it).

  3. Fill in the Swap Details dialog:

    • Swap Name — a label for easy identification.

    • Floating Rate Index — the reference index (e.g. SOFR, SONIA, 6M EURIBOR). Currency is set automatically from the index.

    • Two payment frequencies — tick this if the swap has different frequencies in each period (e.g. monthly then semi-annual), which reveals additional fields: First Interest Payment Date, Payment Switch Date, and a second frequency selector.

    • Start Date, End Date, Payment Frequency.

    • Fixed Rate — the agreed fixed rate on the swap.

  4. Click Save Swap.

Swap Details dialog showing Swap Name, Floating Rate Index, Two payment frequencies checkbox, Start Date, First Interest Payment Date, End Date, Payment Frequency, and Fixed Rate fields

3. Set Up the Notional Profile

After creating the swap, you'll land on the swap detail page. To enter your notional schedule:

  1. Click Download Pricer to get an Excel template with the cashflow dates pre-populated.

  2. Open the file and fill in the Notionals column with the outstanding notional at each period.

  3. Save and re-upload using the Upload Pricer button.

Alternatively, you can edit notionals directly in the Notional Profile tab on the swap page.

4. View the MtM Valuation

Once your notional profile is set, BlueGamma automatically calculates the MtM using current market rates.

How it works:

  • The platform calculates the present value (PV) of future cashflows for both the fixed leg and the floating leg.

  • Formula: PV(Fixed Leg) – PV(Floating Leg) = MtM

The swap detail page shows:

  • Mark-to-Market (MtM) — the current valuation, updated live, with a week-over-week change indicator.

  • Fixed Rate — the agreed rate on the swap.

  • Replacement Rate — the current mid-market rate for an equivalent swap (what it would cost to replace this swap today).

  • Basis Point Value / PV01 — the swap's sensitivity to a 1bp move in rates.

  • Swap Type — Paying Fixed or Paying Float.

  • Trade Date, Bank, Reference — editable metadata fields (click the pencil icon to update).

Swap MtM detail page showing Mark-to-Market valuation, swap details including Bank, Reference, Trade Date, Swap Frequency, Index Name, Swap Type, and metrics including Fixed Rate, Replacement Rate, PV01, Weighted Avg Life

5. Explore the Swap Detail Tabs

The swap detail page includes several tabs:

  • Notional Profile — the cashflow schedule and editable notionals, plus a chart of the notional over time.

  • Forecast Payments — projected future swap payments (floating and fixed legs) based on current forward rates, with a net payment column.

  • MTM Forecast — projects the mark-to-market at future dates with confidence bands based on market volatility. See the Forecast MtM guide for the full breakdown.

  • MTM Historical — how the swap's MtM has changed over time.

  • Floating Rates — the projected floating rates used in the valuation.

6. Work with Entities

Entities let you group related swaps (e.g. all hedges for a single project or borrower):

  1. From the Entities tab on the landing page, click Add New > Add New Entity.

  2. Give the entity a name and save.

  3. Open the entity and click Add Swap to create swaps within it.

At the entity level you can see:

  • Total MtM — the aggregated mark-to-market across all swaps in the entity.

  • Current Notional — the total outstanding notional.

  • Forecast MtM — an aggregated forecast chart across all swaps (see Forecast MtM).

  • Swap Notional Distribution — a breakdown of notional by counterparty.

You can also share an entity with colleagues or download a portfolio summary.

Additional Features

  • Valuation Time: use the Valuation Time selector to value swaps at a specific historical date and time, rather than live.

  • Download: export swap-level or portfolio-level data using the Download button.

  • Search: use the search bar to quickly find swaps by name.

  • Mid Rate column: the Swaps table includes a Mid Rate column showing the current replacement rate for each swap.

Related

PreviousSwap PricerNextForecast MtM

Last updated

Was this helpful?