Swap Breakage Calculator: How to Calculate Fees Using BlueGamma

Looking for a simple and accurate Swap Breakage Calculator or Swap Breakage Fee Calculator? Whether you're managing a portfolio or unwinding a hedge, understanding the mark-to-market (MtM) value of your swap is the first step. With BlueGamma, you can calculate it in minutes—no spreadsheets or complex models required.

💡 What Is a Swap Breakage Fee?

A swap breakage fee reflects the cost (or gain) from terminating an interest rate swap before maturity. It's typically based on the Mark-to-Market (MtM) value of the swap's remaining cashflows—calculated using current market interest rates. If interest rates have moved since the swap was signed, the MtM will likely be non-zero, and that difference is the breakage cost.

Using BlueGamma as Your Swap Breakage Calculator

You can calculate swap breakage fees directly in BlueGamma using the Swap MtM module. Here's how:

1. Log In and Open the Swap MtM Module

1. Head to BlueGamma and log in.
2. In the left-hand menu, click Swap MtM.

2. Add Your Swap Details

1. Click Add New → Add Swap.
2. Fill in key details:
   • Effective and maturity dates
   • Fixed rate
   • Frequency
   • Notional amount and currency

3. Download the Schedule

1. After creating your swap:
   • Click Download Pricer
   • Open the Excel file
   • Ensure payment dates and notionals match your real-world schedule
   • Update the Notionals column as needed

💡 Tip: If payment dates don't line up, adjust them in BlueGamma before uploading.

4. Upload the Final Schedule

1. Once your schedule is ready:
   • Save the Excel file
   • Click Upload Pricer in BlueGamma
2. The platform will automatically pick up your data and recalculate.

5. View the Breakage Fee (MtM)

BlueGamma calculates the present value of all future fixed and floating cashflows and displays the net Mark-to-Market value—that's your swap breakage fee.

Formula used:

MtM = PV(Fixed Leg) – PV(Floating Leg)

Why Use BlueGamma?

• ✅ No manual curve-building
• ✅ Real-time market data
• ✅ Supports amortising and bullet swaps
• ✅ Excel integration
• ✅ Instant MtM results

Try It Yourself (Free)

You can test this directly using our Swap MtM calculator.

Start your free trial or book a quick call to get set up:

• 👉 Start Free Trial
• 👉 Speak to Our Team

Ready to Get Started?

Whether you're managing risk, reporting P&L, or considering an early termination, BlueGamma gives you instant answers with institutional-grade accuracy.

Have a unique swap or question?

Talk to someone from our team—we're happy to help.