Forward interest rate

[jacktu0303]

Hi everyone,

I have question related to interest rate swap as below:

Our company borrows USD 200 million at USD-SOFR + 2% from bank A and interest will be paid semi-annually on 15 June and 15 December. Debt matures on next 15 years. To hedge for the change in interest rate, we enter into interest rate swap (IRS) with bank B to receive 6-month USD SOFR and pay 3.5% fixed rate. The IRS contract has same notional amount, starting/maturity/settlement date with the loan from bank A. We assess that the hedge effective requirements are fulfilled to apply hedge accounting.

We need the 6-month USD-SOFR forward rate on each settlement dates (15 June and 15 December) for the next 15 years to determine the fair value of IRS on 31 Dec 2023 as guidance of Pwc - Page 123 (https://www.pwc.com/hu/hu/szolgaltataso ... _ifrs9.pdf)
Do you know where to find the source for these forward rates?

Thank in advance

[JakobLavrod]

We usually take the forward rates from Bloomberg based on traded market contracts, and one can typically find curves there. EIOPA publishes yearly risk free rates (from 1 to 150 years into the future) for quite alot of countries which are to be used for insurance calculations, and they could be an alternative if you have no Bloomberg access:
https://www.eiopa.europa.eu/tools-and-d ... uctures_en

[Marek Muc]

Bloomberg is a widely used source. Thanks, Jakob, for sharing EIOPA's contributions.

Does anyone know of other free sources?