# Swap Mark-to-Market

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](/documentation/pricers/calculating-a-swap-rate.md) instead.

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### 1. Navigate to the Swap MtM module

* Log in to [BlueGamma](https://app.bluegamma.io/).
* From the left-hand navigation menu, click [**Swap MtM**](https://app.bluegamma.io/swap-mtm).

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.

<figure><img src="/files/8AbiaHiOUqu9Pbdw7a1f" alt="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"><figcaption></figcaption></figure>

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### 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**.

<figure><img src="/files/1Lh5yBzX9wh4q38SVwjf" alt="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"><figcaption></figcaption></figure>

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### 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.

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### 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).

<figure><img src="/files/QmOp8LSkGwoqHLuhlJOe" alt="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"><figcaption></figcaption></figure>

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### 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](/documentation/pricers/calculating-the-mtm-of-a-swap/forecast-mtm.md) 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.

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### 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](/documentation/pricers/calculating-the-mtm-of-a-swap/forecast-mtm.md)).
* **Swap Notional Distribution** — a breakdown of notional by counterparty.

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

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### 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.

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### Related

* [Calculating a Swap Rate](/documentation/pricers/calculating-a-swap-rate.md)
* [Pricing a Cap](/documentation/pricers/pricing-a-cap.md)
* [Forecast MtM](/documentation/pricers/calculating-the-mtm-of-a-swap/forecast-mtm.md)


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