Interest Rate Swap Value Calculator

Work out interest rate swap value instantly with clear inputs, formula shown and shareable results.

About Interest Rate Swap Value Calculator

A swap's mark to market is the present value of the difference between the contracted fixed rate and today's market rate over the remaining life. A payer of fixed gains when rates rise, since the contracted rate is now below market.

Formula

Swap value

Value to payer = notional × (market rate - contract rate) × annuity factor

Worked example

With the default values below, Interest Rate Swap Value Calculator returns Value To The Fixed Rate Payer of $8,020,396.96. Change any input above and every figure here is recalculated in your browser.

Inputs used

Notional Amountminimum 0: 300,000,000
Fixed Rate On The Swapaccepts 0–100 %: 6.8 %
Current Market Swap Rateaccepts 0–100 %: 7.6 %
Remaining Yearsaccepts 0.25–30: 4

Results

Value To The Fixed Rate Payer: $8,020,396.96
Annual Cash Flow Advantage: $2,400,000.00
Annuity Factor At The Market Rate: 3.341832
Rate Difference In Basis Points: 80.0

Step by step

1Values used
2Swap value
3Value To The Fixed Rate Payer= 8,020,396.96
4Annual Cash Flow Advantage= 2,400,000.00
5Annuity Factor At The Market Rate= 3.341832
6Rate Difference In Basis Points= 80.0

Assumptions and limits

The result is derived only from the 4 inputs listed above. Anything not among them is not part of the calculation.
In particular, this calculator does not take inflation, tax, fees or charges or compounding frequency into account.
Figures are rounded for display to 6 decimal places, so totals built from several rounded parts can differ slightly from the unrounded arithmetic.
Figures are estimates based on the inputs given. Bank charges, regulatory minima and market rates change and differ between institutions and jurisdictions. This is not financial advice — confirm with your bank or treasury policy.

How these calculators are built and tested is described on the Methodology page. If a figure looks wrong, please report it.

Figures are estimates based on the inputs given. Bank charges, regulatory minima and market rates change and differ between institutions and jurisdictions. This is not financial advice — confirm with your bank or treasury policy.

Frequently Asked Questions

Why does the payer gain when rates rise?

Because they are locked into paying a below-market fixed rate while receiving the higher floating rate.

Is this the value used for collateral?

Broadly yes, though a full valuation discounts each leg on the appropriate curve and includes credit adjustments.