Treasury risk management software · Built around swaps
Swap pricing, valuations, reporting and collateral management—all in one place. Check a quote, understand your exposure and plan cash without chasing numbers across systems. BlueGamma works alongside your existing TMS.
Interest rate swap pricing · Valuations · Reporting · Collateral management
| Swap | Notional | Clean MtM | Accrued interest | Dirty MtM |
|---|---|---|---|---|
| GBP · Pay fixed · Sep 2029 | £20,000,000 | £184,250 | £12,500 | £196,750 |
| GBP · Receive fixed · Jun 2028 | £15,000,000 | −£92,400 | −£8,750 | −£101,150 |
| GBP · Pay fixed · Mar 2031 | £25,000,000 | £318,600 | £19,250 | £337,850 |
| Portfolio | £60,000,000 | £410,450 | £23,000 | £433,450 |
| Payment date | Counterparty | Fixed leg | Floating leg | Net payment |
|---|---|---|---|---|
| 30 Sep 2026 | Counterparty A | −£200,000 | £218,750 | Receive £18,750 |
| 30 Sep 2026 | Counterparty B | £150,000 | −£159,500 | Pay £9,500 |
| 30 Sep 2026 | Counterparty C | −£250,000 | £273,250 | Receive £23,250 |
| Total | −£300,000 | £332,500 | Receive £32,500 |
| Counterparty | Opening accrual | Interest in month | Net coupon settled | Closing accrual |
|---|---|---|---|---|
| Counterparty A | £9,750 | £21,500 | £18,750 | £12,500 |
| Counterparty B | −£7,500 | −£10,750 | −£9,500 | −£8,750 |
| Counterparty C | £15,000 | £27,500 | £23,250 | £19,250 |
| Portfolio | £17,250 | £38,250 | £32,500 | £23,000 |
Clean value and accrued interest shown separately, with the full portfolio value alongside.
Trusted by finance teams for independent market data and pricing
For UK banks with under £10bn in assets
Teams told us that stale or disconnected data leads them to build in extra buffers to manage risk—and they want to avoid posting too much collateral. That can leave cash tied up instead of earning yield. BlueGamma brings independent swap prices, valuations and payments alongside your TMS, so you can see exposure and cash needs together. Collateral management is planned.
“When we enter a new swap, we use BlueGamma to check we’re entering at a fair price—and track it through the day.”
Compare the counterparty quote with an independent mid before agreeing. Then see how the trade’s value changes as rates move.
Treasury team at a UK bank“Having the analytical tools that we can plug into, that’s the difficult part at the moment.”
Keep positions in your existing system. Use BlueGamma to value swaps and explain what changed, without taking on another broad TMS.
Treasury lead at a UK bank“Mark their homework … make sure we’re not posting too much collateral and losing out.”
The planned workflow will compare exposure with CSA terms and collateral already placed, so the team can review a potential call before confirming a transfer.
Treasury lead at a UK bankCustomer comments are lightly edited for readability and shared anonymously.
A focused layer alongside your treasury system
BlueGamma links the quote, valuation and payment schedule to the same trade, with month-end reporting and a planned collateral workflow alongside. That gives your team one place to check a quote, plan upcoming cash and explain what changed—while your TMS remains the system of record.
01 / Swap pricing & valuation
Compare the counterparty’s quote with an independent mid. Once traded, revalue the swap as rates move to see its mark-to-market and accrued interest—so you can assess the price and keep your counterparties honest.
Check the independent mid against the quote.
Keep the agreed terms and confirmation together.
Follow valuations and cashflows through the life of the swap.
Illustrative figures · Detail by swap and fixed / floating leg
02 / Cashflows & month-end reporting
See upcoming coupons for cash planning. At month-end, reconcile opening accrual, interest accrued and coupons settled to the closing balance, swap by swap—so finance can explain the number without rebuilding it in Excel.
Opening accrual + interest accrued − coupons settled = closing accrual.
03 / Swap collateral & margin calls
Compare exposure with collateral already placed and the terms in each CSA. Review a potential call before confirming it, then track what is agreed and settled—so you can challenge an amount and see how much cash is tied up.
Illustrative only. The planned calculation follows recorded CSA terms, the agreed valuation and settlement date. A person reviews the call before action.
Fits the way your team works
Open the portfolio in the web app, bring supported rates and valuations into Excel, or connect them through the API. Start with one trade, compare the outputs with your current source, then expand when they work for your book.
Bring supported market data and valuations into your workpapers.
Explore the Excel Add-inConnect supported data and valuations to your platform. Scope fields and coverage before you build.
Explore the APIData & methodology
Review the market inputs, valuation date, trade terms and conventions behind a mark. That gives your team the detail to reconcile a result and compare it with another source.
BlueGamma constructs interest-rate curves from market instruments using a documented bootstrapping methodology. Inputs are tied to a valuation date, so historical marks can be revisited.
Use the swap’s dates, notional, index, payment frequency, day count and reset terms to project fixed and floating cashflows. Currency and instrument conventions shape the calculation.
Discount projected cashflows to calculate mark-to-market. See clean value, dirty value and accrued interest separately, then reconcile accruals and coupons settled at month-end.
The planned collateral workflow will apply recorded counterparty terms to exposure and balances, flag potential calls for review and track confirmed transfers and interest. Cash stays in your existing process.
Outputs depend on the trade data, market inputs and conventions selected. Bring a representative trade and compare the results with your existing source.
Yes. BlueGamma is designed to sit alongside the system that holds your positions. Use the web app for swap portfolios, Excel for your workpapers, or the API for supported market data and valuations. A connection to your particular TMS needs to be scoped; it is not a pre-built integration by default.
The collateral module is planned. The intended workflow is built around each counterparty’s CSA: record VM and independent-amount balances, apply agreed thresholds and minimum transfer amounts, flag potential calls, record manual confirmation and track transfers through settlement. It will also calculate interest on recorded balances using the applicable terms. It will support the team’s process; it will not move cash or send a margin call automatically.
The core workflow covers interest rate swaps, with live rates, historical valuations and payment schedules. End-of-day pricing is available for covered bonds and gilts, subject to instrument coverage. Share your currencies, trade types and ISINs so we can confirm availability and timestamps. T-bill pricing, repo workflows and cross-currency requirements need a separate coverage review.
The swap month-end pack brings together opening and closing accrued interest, interest accrued during the month and coupons settled, with detail by swap and fixed or floating leg. Clean and dirty valuations help you reconcile the numbers. Your finance team retains responsibility for accounting treatment and journal posting.
No. BlueGamma provides treasury risk management tools focused on interest rate swaps: pricing, valuation, cashflow and month-end reporting. It works alongside the system that holds your positions. Whole-bank ALM, LCR calculations, regulatory submissions, general ledger and core banking remain in your existing systems.
Start with a representative trade confirmation and a recent valuation or payment report. We can help load the trade and compare the valuation date, cashflows and conventions with your existing source. Use that comparison to decide whether to bring across more of your portfolio.
Let’s look at your swap book
Compare its price, valuation, cashflows and month-end output with your current source. See whether BlueGamma fits your process before you bring over more of the book.
Book a Treasury DemoTalk directly to the team building BlueGamma.
