The auditor wants an independent valuation of our swap — how do I get one?

Auditors don't formally "approve" data vendors — what they test is where your number came from, whether it's independent of both you and your counterparty, and whether you can show the methodology and curve inputs behind it. As one senior treasury consultant put it, auditors expect teams to "get the truth from a renowned market data provider… they want a single source of truth." A valuation from an independent third-party platform, with a documented methodology, downloadable curve inputs and a dated PDF report archived each month, is a far stronger evidence trail than a self-built spreadsheet or the bank's own statement. Several BlueGamma customers adopted the platform specifically ahead of a Big Four or top-tier audit.

Yes. BlueGamma's swap mark-to-market tool supports amortising swaps — you paste the notional profile straight from Excel and the schedule updates. You get the MtM, PV01 and forecast payments for the exact amortisation profile, across SONIA, SOFR, EURIBOR and 30+ currencies, without paying for a terminal costing thousands a month.

Set the hypothetical up as a second swap in the mark-to-market tool with the critical terms of the hedged debt, and label it "hypothetical" in the reference field. Each month-end you revalue both the actual and the hypothetical off the same curve, and the difference feeds your effectiveness measurement; where testing needs marks as of multiple historical dates — a common ask from Big Four valuation teams — the Excel add-in prices the same trade across several as-of dates in one sheet. BlueGamma gives you the MtMs; the dollar-offset or regression workings live in your own workpapers.

The usual culprits are timing and conventions, not the data: the bank marks at its own close (e.g. London 5pm) while you pulled a curve at a different time, or a payment date, day count or compounding convention is set slightly differently. Even two desks on the same premium terminal can disagree — one treasury lead described how "slightly different fixing times" produced "slightly different forward implied rates — and that drove me nuts." In BlueGamma you set the valuation date and time to match the bank's close and align the schedule details; a sensible tolerance is around a basis point of PV01, and a persistent gap beyond one to three basis points is worth querying with the bank.

For liquid interest rate swaps, the underlying data originates with the brokers and exchanges — BlueGamma's data is sourced directly from a leading regulated interdealer broker, the same source the major terminals use — so the raw market data is the same; each provider then builds its own curves. Customers who have run side-by-side comparisons typically see differences of a couple of basis points or less, and audit valuation specialists who cross-check against a premium terminal note that even the big vendors "differ across maturity lines" — which is why the check is tolerance-based, not to-the-penny. BlueGamma bootstraps its own curves in-house rather than using out-of-the-box libraries, and the underlying inputs and fixings are downloadable for your audit file.

No — and that's deliberate. BlueGamma produces the valuations (actual swap, hypothetical derivative, MtM, PV01) that feed your hedge accounting; the journal entries, OCI allocation and designation memo stay in your own accounting workflow. Most treasury teams prefer it that way: the platform is the independent number, their workpapers are the accounting. If you'd rather outsource the whole thing, budget accordingly — advisory teams report hedge accounting engagements running €20,000–40,000 per instrument.

A BlueGamma single-currency starter licence is a flat monthly subscription that includes the swap pricer, mark-to-market tool, curves and unlimited downloads — there are no per-valuation or per-download fees, so daily revaluation costs the same as monthly. A 14-day free trial lets you set your actual swap up and check it against your bank's statement before paying anything.

Yes — you select both the valuation date and the time of day, so if your bank marks at London close, you value at London close, not whenever you happened to open the file. This is the single most common reason independent valuations "disagree" with bank statements, and it disappears once the timestamps line up. Data refreshes roughly every 30 seconds during market hours, and prior-day close marks are available for teams that reconcile collateral or run end-of-day valuations.

If you have exactly one swap — "literally the only thing I need it for is a smell check on the fair value of a swap price, quarterly, for two years," as one listed-company finance team put it — the realistic options are asking your bank (not independent, and "asking banks for favours" gets old), outsourcing to an advisory or Big Four team (expensive per instrument), or a platform subscription. BlueGamma's single-currency licence is a flat monthly subscription with unlimited revaluations, and the 14-day free trial lets you confirm it reconciles with your bank's statement before paying. Building it yourself in Excel is free until it isn't — one valuation firm found its DIY model roughly £50k off because a spot rate was used where a forward belonged.

Coverage spans 30+ currencies: SONIA, SOFR (including compounded-in-arrears with lookback conventions), EURIBOR, and yen swaps on TONA or TIBOR, alongside benchmarks like CORRA, BBSW, NIBOR, JIBAR and SAIBOR. The honest limitation: purely domestic benchmarks with no traded forward market — a local minimum-lending-rate leg, for example — can't be built as a market-implied forward curve by any provider. If your swap references a niche index, load it during the free trial and check the curve exists before you commit.