1. For each expiration and each underlying interest rate swap, there are 7 different strike rates. It is used by nonfinancial firms in the management of the interest rate risk of their corporate debt. 0 (100. An interest rate swap is an agreement between two parties to exchange one stream of interest payments for another, over a set period of time. 5. In order to be rewarded for the uncertainties surrounding variations in the floating rate used in a swap, a receiver will demand the swap rate from a payer. After one month, the AUD/US$ spot exchange rate changes to 0. 5% monthly return on his investment. If client paid Fixed Rate and receives Floating Rate, client can hedge its interest rate risk if the current market. Voltz's interest rate swap protocol for DeFi will introduce new products to enable cryptocurrencies to compete with traditional finance's interest rate swap marketplace. Interest rate swaps are commonly used for. The rate on the portion of a corporate overpayment of tax exceeding $10,000 for a taxable period is the federal short-term rate plus one-half of a percentage point. The borrower anticipates that interest rates will increase over the term and wants a fixed interest rate. The formula for calculating Interest Rate Swap is: Swap Value = (Fixed Rate - Floating Rate) x Notional Amount x (1 - Recovery Rate) x (Adjusted Period Length / 360) The formula may look a bit complicated, but it’s nothing that we can’t handle. dollar interest rate swaps comprise about one -half of all interest rate swaps outstanding: the notional principal amount of U. S. Trades based on the yield economics are risky in the very inefficient IRS market. ©2023 International Swaps and. Net cost = $16,400. Interest rate swaps are used to speculate or hedge against a change in interest rates. 2:10. 00% PAID to Bank = $87,260. Interest Rate Swap Definition. Chapter 2 emphasizes that interest rate derivatives with the potential to span volatility in fixed income markets also contain information that obfuscates this volatility. The IBM-World Bank Interest Rate and Currency Swap of 1981. It is an agreement between two parties to exchange one stream of interest payments for a different stream, over a certain period of time. Benefits of Currency Swaps. The IRS also issued a field service advice memorandum concluding that a net periodic payment made under an interest rate swap is deductible under Sec. The press has awakened to an unexpected development on the long end of the interest rate swap ("IRS") yield curve. Anyone referencing the 2006 Definitions today would have a somewhat bigger task on their hands. A forex swap rate, also known as a rollover rate or a swap, is a fee that is paid or charged to an open trade at the end of each trading session. Cashflows Loan principal 100. At the time of the swap agreement, the entire fixed rate flow remains equal to the forecasted floating-rate payment as depicted by the forward MIBOR curve. Therefore, the average bank in the largest 250 uses a standard banking model – making loans and taking deposits. 73%. Company enters into a swap where it receives LIBOR and pays fixed rate: buys a 5 year swap at 3. The government's decision to roll back the most contentious tax cut on Monday from its plan after a backlash within the Tory party has so far failed to. 73%, thus a total interest rate at closing of 4. S. designed to hedge the interest rate risk of SBM’s $1 billion five-year floating rate revolving credit facility. 001 USD. You owe the fixed rate on the swap and the bank owes you a floating rate. OIS serves as a gauge of market expectations for central bank rates,. The swap typically involves one party making fixed payments and receiving. Paragraphs 68 - 70, 114 and 132 of Statement 133 set forth the requirements and guidance concerning use of the shortcut method to account for fair value or cash. ENNs work in 5-year equivalents so as to capture the biggest component of interest rate risk,The great depth and liquidity of the interest rate swap market, esti mated at $1. This is the rate at which the party will pay the other party. An interest rate swap is an agreement between two parties to exchange one stream of interest payments for another, over a set period of time. Period BMA Index 1 Month LIBOR Index. Market cap is calculated by taking a company's price per share and multiplying it by the company's total number of shares outstanding. Fundamentally, it provides scalability and complexity to a global financial system. - Interest rate swaps are priced so that on the trade date, both sides of the transaction have equivalent NPVs. ต้องมีวงเงินสินเชื่อสำหรับอนุพันธ์ทางการเงิน IRS. Among the Interest rate swaps, the OIS is the most popular and liquid. - The fixed rate payer is expected to pay the same amount as the floating rate payer over the life of the swap, given the prevailing rate environment (where today’s forward curve lies). Interest rate swaps are commonly used for. Definition of Interest Rate Swaps. Let’s say Mr. Methodology. Swaps are derivative contracts and trade over-the-counter. Commercial real estate (CRE) borrowers often encounter these swaps. Its NPV on. 0 trillion, and U. 50%. In a plain vanilla interest rate swap, two parties agree to exchan. TUPELO, Miss. interest rate swaps was $6. at 74287, 74307. 7 billion in debt floating. 215%. 84%. Definition of Interest Rate Swaps. TheFor the second half of 2019, the notional amount of interest rate swaps globally was over $342 trillion and valued at nearly $7. According to the Bank for International Settlements1. Interest rate swaps are independent from the underlying debt (or assets) that they are intended to hedge. Indeed, the swap curve is emerging as the pre-eminent benchmark yield curve in euro financial markets, against which even some government bonds are now often referenced. An interest rate swap is an agreement between two parties to exchange future interest rate payments over a set period of time. MXN Swaps are the 8th most traded interest rate swap at CCPs. equity index swaps, and similar agreements. Part of the issue is a lack of bond market supply. Abstract. dealer’s pricing and sales con ventions, the relevant indices needed to determine pric ing, formulas for and examples of pricing, and a review of variables that have an affect on market and termination pricing of an existing swap. 25-year is following the upward movement of it at time 2-year. In the contract, one party exchanges a loan at a fixed rate of interest, which is called swap rate, for a loan atYou can think of an interest rate swap as a series of forward contracts. With these contracts, entities do not exchange their obligations or debt instruments. The first split for BXS took place on November 21, 1995. S. Interest rate swap Interest Rate Swap An interest rate swap is a deal between two parties on interest payments. A $10 million, semi-annual reset, interest rate swap entered Friday, April 15th, for example, might have required Citi to pay JPM the difference between the fixed rate of 1. 31 December 2024 will be the last day of publication for 1M and 3M SIBOR as announced in ABS-SFEMC and SC-STS’ December 2020 response paper . Dec 22 €STR = 100 - 97. A NEW WAY TO COMBATAn interest rate swap involves the exchanging or “swapping” of interest payments on one financial instrument for another. 96 actually means annual interest rate of 1. 2. The evidence from four major currencies – $, £, DM and ¥ – during 1987–1996 suggests that swaps were initially being priced off the futures curve (ignoring the convexity. Term: 3 years. banks. Net cost = $16,800. The “swap rate” is the fixed interest rate that the receiver demands in exchange for the uncertainty of having to pay the short-term LIBOR (floating) rate over time. Accordingly, the parties agree as follows: 1. The meaning and definition of an interest rate swap will be that it is a derivative contract in which two parties agree to exchange a stream of future interest payments for another. Today's value and price history. It’s the interest fee, which is charged or earned, for keeping positions open overnight. 45%. The dividend rate is the portion of a company's profit paid to shareholders, quoted as the dollar amount each share receives (dividends per share). Estimates place the notional amount outstanding in interest-rate and currency swap contracts at more than $170 trillion in 2006, up from $3 trillion in 1991 (BIS, 2006). read more is where cash flows are exchanged at the fixed rate about the floating rate. A basis rate swap (also known as a basis swap) is an agreement between two parties to swap variable interest rates based on different money market reference. 96 %. 99% of cleared volumes are at CME, and most MXN swaps are now cleared. Similarly, we can say that an interest rate swap with two floating rates is a basis swap. Instead of exchanging the benchmark index, the company can opt for an interest rate swap agreement with another party whose debt is currently. See full list on investopedia. Short-Cut Method for Interest Rate Swaps. Types of Currency Swaps 3. It is the rate at which banks are willing to lend. Get live price now!Category: Interest Rates > Interest Rate Swaps, 32 economic data series, FRED: Download, graph, and track economic data. 4% after three weeks of declines set the stage for a relief rally. An interest rate swap is a financial derivative where two parties exchange interest payments on a specified notional principal over a set period. In addition, there is an increasing use of the interest rate swap as a tool for asset and liability matching. The list of financial instruments governed by the rules for accounting for income and deductions from notional principal contracts includes "interest rate swaps, currency swaps . Annual interest received = $500,000 x (5 + 1)/100 = $30,000. The reform reduced hedging needs for Libor-related risks, which led to a material drop in FRA trading and a shift in the geographical distribution of OTC turnover. For dollar-denominated swaps, it might be the Fed funds rate or the secured overnight financing rate (SOFR). Bond Traders Are Betting for a Seventh Time on a Fed Shift to Rate Cuts. 75% to the same 6. Single currency basis swaps (for example tenor swaps) provide valuable information relating to credit risk of term lending, for example the low credit risk of overnight lending compared to the higher. The borrower selects a reference rate such as the 3 month USD LIBOR rate, a period of time such as 2 years, and a protection rate such as 0. 91%] UNDER the RBNZ's May MPS projection of 3. The floating rate the bank pays the borrower offsets the floating rate on the loan and you are left with. Even as progressively higher interest rates throughout 2022 caused increasingly large unrealized losses on banks’ books, they rarely hedged that risk. So for example, they can enter into an agreement, and this would be called an interest rate swap, where company A agrees to pay B-- maybe, let's make up a number here-- 7% on. Assume that a year after the first exchange occurs, the risk-free rate for all maturities in USD is 4. They only pay or receive the difference between the interest payments in swapped instruments. Interest rate swaps are financial instruments that allow parties to exchange interest rate cash flows. Firms that use swaps are significantly larger and have a higher debt to. That is why the principal is called the notional principal. The growing popularity of interest rate swaps is due in part to the fact that interest rate swaps are simple and easy to execute and they are the relatively inexpensive instruments for hedging or for altering the interest rate risk. A Simple Interest Rate Swap Example. 3. 5% versus SOFR flat. Par Swap Rate. The reform reduced hedging needs for Libor-related risks, which led to a material drop in FRA trading and a shift in the geographical distribution of OTC turnover. LIBOR + 2%) when using the Multicurve Methodology in valuing a Swap. Furthermore,the resulting interest revenues can be. The start date is T i and the end date is T i+1. An interest rate swap is an agreement where two entities swap their interest payments. 5% and 3. Swaps also help companies hedge against interest rate exposure by reducing the uncertainty of future cash flows. Quality Spread Differential - QSD: In an interest rate swap , the difference between the interest rates of debt obligations offered by two parties of different creditworthiness that engage in the. Current Interest Rate Swap Rates - USD. The Floating Payer’s leg of the swap is based on the three-month LIBOR rate and the Fixed Payer’s leg of the swap is fixed at 3. 25%. Unlike IR swaps, you must include principal exchange. The 3-year rate cap is FOUR TIMES the cost of the 2-year, even when markets don. An Interest Rate Swap Example. Both legs of a basis swap are floating but derived from. The interest cap premium formula is as follows: Interest Premium = (Index Level – Strike Price) x (Days in Period / 360) x (Notional Amount) Now let us assume that Freddy takes a home loan and negotiates a cap with a 6% strike rate. Co B is now effectively paying a fixed interest rate of 9. An Interest Rate Swap is an agreement to exchange fixed and floating interest rates which are calculated upon the specified principal with the net amount of interest payment of the two parties to be settled on the delivery date. 78% (0. S. S. his paper studies the determinants of U. If the adjustable rate surpasses the fixed rate, the party that receives the adjustable payment makes a profit, and vice versa. S. out” the impact of the original swap. 00002192 USD. 2. They are widely used by governments, corporations, institutional investors, hedge funds, and. 5% in Euros. The swap bank approached Co B and agreed to receive fixed at 8. Dollar swap curve U. Interest rate swaps became an essential tool for many types of investors, as well as corporate treasurers, risk managers and banks, because they have so many potential uses. Hedging with a 3-year rate cap would cost: $98,000. Mismatches occur when a member funds long-term assets using short-term liabilities, or vice versa. But for a european IRS i do not know. 7. This means that Party A will pay. Interest Rate Swap. A mutually profitable swap can be negotiated as follows: Company AA borrows at a 10 percent fixed-rate and BBB borrows at LIBOR + one percent. The most commonly traded and most liquid interest rate swaps are known as “vanilla” swaps, which exchange fixed-rate payments for floating. Swaps are derivative contracts and trade over-the-counter. An overnight index swap (OIS) uses an overnight rate as its floating rate. For example, an interest rate swap position, which receives a fixed rate in exchange for paying Libor, will continue to reference Libor on the floating rate leg. 1. A circus swap therefore. There is no exchange of principal, only an exchange. For example, one of the largest markets is for interest rate swaps. the Inflation Swap Market 1. In Section 1, we introduced the concept of variable rate loans. 54%. Demikian rangkuman dari GICTrade yang telah menjelaskan sedikit tentang "Swap Forex: Pengertian, Jenis-Jenis hingga Cara Menghitung". For example, interest rate swaps can hedge against interest rate fluctuations, and currency swaps are used to hedge against. So, if one party is paying a fixed interest rate to the bank and the other is paying a floating interest rate, but each party prefers the other’s loan arrangement over their own. An interest rate swap is a product that provides real benefits to both parties and is often the most elegant solution to meet the bank’s and the borrower’s needs. 512Trn (in USD equivalents). Harga kompetitif. 26 offer 3. 89, while the broader NSE index NIFTY gained 30 points, or 0. Swaps are derivative contracts and trade over-the-counter. Introduction n inflation swap is a derivative transaction in which one party agrees to swap fixed payments for floating payments tied to the inflation rate, for a given notional amount and period of time. The prime example is LIBOR where \ (\Delta\) is 1, 3, or 6 months. The benchmark rate reform led to structural changes in OTC interest rate derivatives markets, driving up the share of instruments referencing overnight rates in overall turnover. Paragraphs 68 - 70, 114 and 132 of Statement 133 set forth the requirements and guidance concerning use of the shortcut method to account for fair. , mostly for 1M, 3M, 6M). It provides information on the interest rate swap market, the swap . I commend the Subcommittee onThe U. Just like a forward contract, the swap has zero value at inception and hence no cash changes hand at initiation. 1. The final step to calculate a fair value for our complete swap is to present value each floating coupon. The fixed interest rate is predetermined at the beginning of the. We find that the average bank has a large notional amount of $434 billion. A Swap can be used by borrowers who have a desire to alter their interest rate or cash flow profile to suit their particular needs. The first reference rate’s maturity, \ (\Delta\), matches the payment interval of the floating rate loan. Basis swaps are financial derivatives that allow market participants to exchange one floating interest rate for a different floating rate risk. Yield Curve and Forward Rate Calculations. 5% 3% 3. • Clearing OTC SOFR Swaps further extends CME Group’s leadership as the only clearing house to offer clearing for Interest Rate Swaps, Swaptions and Interest Rate Futures within a single netting pool. swap DV01– their interest rate risk exposure in swaps– to bank equity– their capacity to absorb risk. 102175 – Rs. Research Notes Oct 2, 2023 Research. The swap in question is a plain vanilla interest rate swap. I will be using the same USD interest rate swap structure that was defined in my Carry&Roll post. 5% and 6-M-EURIBOR. We've color-coded each closure date by. 17 January 2010 by Tejvan Pettinger. Understanding Basis Rate Swaps Definition. Australia interest-rate swap spreads hit their widest in a decade DRAINED. While credit risk exposure has traditionally been captured by spreading over-the-counter (OTC) interest rate swaps (IRS) against on-the-run (OTR) U. . —Stigum p. An interest rate cap is an agreement between the seller, or provider, of the cap and a borrower to limit the borrower’s floating interest rate to specified level for a period of time. In surveys of derivative usage, a sizable fraction of the larger firms in the US typically indicate that they are using interest rate swaps, and that swaps are their favorite derivative contract for managing interest rate. It is a 3-year interest rate swap in which ABC Corp. 0 million. 64%) BancorpSouth Disburses Nearly $55K in Homeowner Aid Business Wire - Wed Aug 11, 2021. 25% (0. Basis Rate Swap: A basis rate swap is a type of swap in which two parties swap variable interest rates based on different money markets , and this is usually done to limit interest-rate risk that. Each currency swap generally has two different currencies that are being used. During the time period between January 1, 2018, and December 31, 2018, eight different CDFIs entered into interest rate swaps and four of those entities entered into more than one swap. It is common for the net loan fixed interest rate to the borrower to include 25 basis points. Plain vanilla interest rate swaps are the most common swap instrument. 9 percent, the amount of the swap spread is 0. It involves exchange of interest rates between two parties. Annual Dividend & Yield: The annual dividend rate and yield, calculated from the latest dividend. 75% range on a 5/25. Australia's central bank holds about a third of sovereign debt, thanks. • The deep liquidity and potential offsets found in our Interest Rate franchise make CME the natural home for SOFR clearing. This amount generally remains the same over the entire lifetime of the swap, with the. The swap rate can be found in interest rate swaps or currency swaps. Notional Principal Amount: The notional principal amount, in an interest rate swap, is the predetermined dollar amounts on which the exchanged interest payments are based. What is changing is the rate used to calculate the net present value of the future cash flows. Many companies opt for a swap to exchange a variable rate for the simplicity of a fixed-rate payment. 000000027219 and 0. An Overnight Index Swap is a derivative contract wherein two parties agree to swap interest payments—one pays a fixed rate, and the other pays a rate linked to an overnight index, thus playing a vital role in hedging against interest rate risk and speculation. 3. You can use this tip to check whether your resulting swap rate is close to. They are widely used by governments, corporations, institutional investors, hedge funds, and. BeInCrypto is currently using the following exchange rate 0. com In an interest rate swap, this refers to the fixed interest rate that’s exchanged for a benchmark rate (such as SONIA, Libor, or Euribor) plus or minus a spread. 5% and 3. 30 swap rate 3. 1 . B. Use of VIX futures and inflation swaps by a firm’s market strategist to infer expectations about market volatility and inflation rates, respectively. Determination of Cash Flows. This is the basis point spread over the interest-rate swap curve, and is a measure of the credit risk (and term. Floating rate asset left after interest rate risk is removed is Prime at 3. (Assume that the 2-year swap. 2 The Risks in the Interest Rate Swap Space. Let’s see how an interest rate swap works with this basic example. To calc duration on a swap it's your notional/DV01 * 10k. 25 percent annual interest rate. Between March 2021 and September 2022, gross notional on EURIBOR swaps – the most traded and liquid derivatives used to hedge interest rate risk for euro-denominated exposures – increased by around 50% ( Chart A, panel a). 8. 44% for 15 months, 2. SBM pays a fixed rate on the swap and receives a floating rate5. Thus, a company that has only been able to obtain a floating-rate loan can effectively convert the. Treasury yields and swap rates, including the benchmark 10-year U. LCH. A “buyer” might therefore agree to pay a per annum rate of 2. The Interest Rate Swap Market The interest rate swap market is one of the most important fixed-income markets for the trading and hedging of interest rate risk. The swap thus synthetically converts fixed rate assets to variable rate assets. of outstanding interest rate swaps denominated in dollars, for non- financial institutions, is about 10 trillion dollars. Meaning of Currency Swap 2. This is the most common type of swap contract, wherein, the fixed exchange rate is swapped for a floating exchange rate. However, owing to theAn interest rate swap is nothing but a simple contract where two parties exchange each other’s loan arrangement. 75% for the term of the swap, subject to the terms of the swap contract; the LIBOR rate is not floored at 0. Time USD Euro (years) Cash flow Euro Cash flow 0 − 5, 000 + 4, 000 1 + 150 − 100 2 + 150 − 100 3 + 150 − 100. This paper examines the convexity bias, caused by the non-linearity of payoffs, in the pricing of interest rate swaps off the Eurocurrency futures curve. ต้องสามารถส่ง. 1 trillion of interest rate swaps2. Suppose the mortgage provider buys an interest rate swap at a 0. 0 trillion, and U. 25% and pays a variable rate of 6-M-EURIBOR. 0625%/quarter) for US dollars. Specifically, the fixed rate on the lender/dealer swap could be adjusted upward from 5. Time USD Euro (years) Cash flow Euro Cash flow 0 − 5, 000 + 4, 000 1 + 150 − 100 2 + 150 − 100 3 + 150 − 100. You estimate your projected future cash flows will give you enough liquidity to pay the loan interest. the swap rate) has to include a fixed spread over the corresponding riskless Treasury rate to compensate for the floating TED spread. As seen in Figure 1, a bank and a company enter into an interest rate swap agreement on December 31, 2016, for a notional amount of $1. Treasury Bond, the Secured Overnight Financing Rate (SOFR), 1-month Term SOFR. The annualized fixed rates were 0. 5%, an increase adjustment to the interest rate [ ( (6. 1 . A pays B 8% fixed 2. We compare interest rate swaps based on two different reference rates. Courses on Khan Academy are always 100% free. Interest rate swaps are subdivided into two subcategories: a coupon swapor fixed-floating swap or plain vanilla swap refers to a swap in which onestream is a fixed rate of interest, and the other is a floating rate of interest. U. Turnover of dollar- and euro-denom inated contracts grew by 141% and 148%,The profit rate swap. This share is down noticeably from 2019 and 2016, when dollar contracts accounted for roughly half of global turnover, and reflected the disproportionate impact of the Libor reform. Notational Principal one millionAn interest rate swap is a forward contract in which two parties sign a series of future interest payments to be exchanged based on a specified notional amount. Treasury yields and swap rates, including the benchmark 10-year U. This is consistent with the conventions for interest rate swaps using overnight index swaps (OIS). Generally, the two parties in an interest rate swap are trading a fixed-rate and variable-interest rate. An interest rate swap is an agreement between two parties to exchange one stream of interest payments for another, over a set period of time. Annual fixed rate = 0. Abstract Indebted developing countries have been prevented from hedging their exposure to volatility in short-term international interest rates by a lack of creditworthiness, a shortage of international reserves, and a lack of financial expertise. General description Graphical depiction of IRS cashflows between two counterparties based on a notional amount of EUR100mm for a single (i'th) period exchange, where the. These swaps are forward contracts and can be. 75 If BBSY = 8. On Thursday, the Bank of England is broadly expected to deliver a 0. and HOUSTON, Oct. Print Mail i. 162 as a trade or business expense, as opposed to being deductible under Sec. An OIS Swap is an Overnight Index Swap, where you exchange a fixed rate against an average of the overnight rates for the tenor of the swap. Start practicing—and saving your progress—now: An interest-rate swap is a contract between two parties to pay and receive, with a set frequency, interest payments determined by applying the differential between two interest rates—for example, 5-year fixed and 6-month LIBOR—to an agreed-upon notional principal. 96% Annual fixed rate = 0. 000000041936 USD. A case study is provided in Section 6. An interest rate swap allows the parties involved to exchange their interest rate. commercial banks alone held $2. Then, they will enter into a mutual agreement to. bank has an asset duration of around 3. This is the amount on which the interest is calculated. and HOUSTON, Oct. Even without default risk, the fixed rate of a LIBOR swap (i. Interest Rate Swaps shows that valuation, pricing, and portfolio management of swaps likewise follow the most basic principles of finance. Learn learn about how tax rate swaps work. We ask whether banks use interest rate swaps to hedge the interest rate risk of their assets, primarily loans and securities. In Section 1, we introduced the concept of variable rate loans. With an unfloored interest rate swap, Borrower will pay a fixed rate to the swap contract holder and Lender will pay Borrower a variable rate based on the one month LIBOR (unfloored) + 1. S. The swap rate curve is a chart that depicts the relationship between swap rates and all available corresponding maturities. Trade rates represent shown switch one mid-market basis additionally may not reflect. The benchmark rate reform led to structural changes in OTC interest rate derivatives markets, driving up the share of instruments referencing overnight rates in overall turnover. Below is a table with our forward rate calculations & floating coupon amounts for the rest of our coupons. S. The “replacement rate” is a calculation of the cost compared to the contract swap rate of 1% to the prevailing 5-year mid-market swap rate (for five years remaining on the swap. Interest Rate Swaps Example. , LIBOR). You can also use swaps to manage. Swaps are derivative contracts and trade over-the-counter. A leading national bank (the “Bank”) was sued by a large corporate client (the “Borrower”) that had taken out several loan agreements and an interest rate swap (“IR Swap”) to hedge the floating rate payment risk. Interest rate swaps convert floating interest payments into fixed interest payments (and vice versa). With back-to-back swaps, the bank enters into two separate transactions with their customer: These transactions create an all-in fixed-rate structure. The current rates for 5 year interest swaps are: bid 3. Since the late 1970s, interest rate swaps have been used as a mechanism for managing risk. We ask whether banks use interest rate swaps to hedge the interest rate risk of their assets, primarily loans and securities. They are an important tool for managing interest rate risk and can be used to lower borrowing costs or increase investment returns. Time three years 4. 23%. 2. For example, the customer borrows at 1-month Term SOFR or Prime, but because of the swap, effectively pays a fixed-rate on the loan. As discussed in ASC 815-20-25-138, a private company may apply the simplified hedge accounting approach to a forward-starting interest rate swap entered into to hedge variable-rate interest payments on future debt issuances provided the qualifying criteria are met. The fixed rate is termed the “swap rate”.