Mark to Market (MtM) for Interest Rate Swaps

How to use BlueGamma for mark to market accounting

If you’re staring down a spreadsheet trying to calculate mark to market valuations for interest rate swaps manually, stop. There’s a faster, easier, and more accurate way.

Whether you’re working in mark to market accounting, handling derivative valuations, or need a quick mark to market for client reporting - BlueGamma lets you do it all in under a minute.

Here’s how it works (and why it’ll save you hours).

What is Mark to Market (and why it matters)

Mark to market (MtM) is the process of revaluing a financial instrument - like an interest rate swap - to reflect its current market value, not its historical cost. It’s crucial for:

• Keeping your books accurate
• Meeting accounting standards (IFRS and GAAP)
• Giving lenders, clients or auditors a true picture of your financial position

But the problem? It’s usually slow, fiddly, and easy to get wrong.

How to Calculate Mark to Markets in BlueGamma (<1 min)

Step 1: Log in to BlueGamma here.

No setup required!

Step 2: Click “Debt Hub” → “Add New Swap”

Give your swap a name, pick your currency, enter the dates and fixed rate.

💡 Need two payment frequencies? (Common in greenfield renewables?) Tick "Two payment frequencies" and you're sorted.

Once you click "Add", the swaps date structure is created using a bullet notional of 10 million (in your selected currency) with the Mark to Market now visible, but we're not done just yet.

Step 3: Add the Notional Schedule

You have two options:

• Download Pricer, paste in the notionals, re-upload
• Or hit “Edit Notionals” and paste directly

Boom. Your Mark to Market valuation is live, pulled from the latest market data.

What makes BlueGamma’s Mark to Market tool different?

• Up to date curves - You can extract the exact forward and discount curves used in the MtM calculation
• Transparency = confidence - No black box. You know exactly how the number was derived, see an example of the pricer available for download below
• Built for real-world use - Handles dual-payment swaps, historic valuations, and non-standard schedules with ease

Once you have set up your swap there is other analysis also avaialble including

1. a Mark to Market forecast

2. Historical Mark to Market Analysis

And while MtM for today is important, typically historic mark to markets are also required which can be found by selecting the required date in the date selector as below.

If you need a MtM, try BlueGamma free

Don’t just take our word for it. Try it out yourself - run a mark to market valuation in under 60 seconds and if you have any questions during the process, feel free to reach out in the chat.

Link to BlueGamma's MtM Calculator