Benchmarking a Swap Rate with a Bank

Benchmarking with a bank helps you compare swap rates using consistent profiles and methodologies. Here’s a step-by-step guide to conducting a benchmarking exercise:

1. Schedule a Benchmarking Session:

   • Contact your chosen bank and agree on a time for the exercise.

2. Share Your Notional Profile:

   • Provide the bank with your notional profile in Excel format a few hours in advance to ensure they have time to generate rates.

3. Request Key Rate Information:

   • Ask the bank to supply:

     • Mid-Swap Rate

     • All-In Rate (Mid Rate + Execution Spread + Credit Spread)

4. Use BlueGamma for Analysis:

   • Log into BlueGamma and input the same notional profile into the Swap Pricer tool. Follow this guide

Calculating a Swap Rate

Compare the rates provided by the bank with the indicative rates generated by BlueGamma.