{"id":46397,"date":"2022-09-29T13:32:10","date_gmt":"2022-09-29T17:32:10","guid":{"rendered":"https:\/\/www.bloomberg.com\/professional\/insights\/treasury\/forecasting-interest-rate-expenses-in-a-volatile-market\/"},"modified":"2022-09-29T13:32:10","modified_gmt":"2022-09-29T17:32:10","slug":"forecasting-interest-rate-expenses-in-a-volatile-market","status":"publish","type":[3762],"link":"https:\/\/www.bloomberg.com\/professional\/insights\/treasury\/forecasting-interest-rate-expenses-in-a-volatile-market\/","title":{"rendered":"Forecasting interest rate expenses in a volatile market"},"content":{"rendered":"<div  class=\"bbg-row-container\">\n    <style>section[data-anchor=row-6a03eff375939]::before {\n\t\t\t\tbackground-color: #eeeeee;\n\t\t\t}<\/style>\n    <section class=\"bbg-row bg--custom-color  bg--eeeeee text--black bbg-row--full-bg-bleed\" data-anchor='row-6a03eff375939'>\n        \n        \n        <div\n            class=\"bbg-row--content\"\n                    >\n            \n            <p><div\n    class=\"bbg-column bbg-column--width-2\"\n    style=\"\"\n    >\n    \n<\/div><div\n    class=\"bbg-column bbg-column--width-8 bbg-column--valign-bottom\"\n    style=\"\"\n    >\n    <p>    <ul class=\"bbg-categories_list\">\n                    <li>\n                <a href=\"https:\/\/www.bloomberg.com\/professional\/insights\/category\/treasury\/\" rel=\"category tag\">\n                    Treasury\n                <\/a>\n            <\/li>\n            <\/ul>\n<div\n    class=\"bbg-spacer\"\n        style=\"height: 24px !important\"\n    >\n<\/div>    <h1 class=\"bbg-metadata bbg-metadata--title\">Forecasting interest rate expenses in a volatile market<\/h1>\n<\/p>\n\n<\/div>\n\n\n                    <\/div>\n    <\/section>\n<\/div>\n\n<div  class=\"bbg-row-container\">\n    <section class=\"bbg-row  text--black row-padding--top-compact row-padding--bottom-none bbg-row--full-bg-bleed\" data-anchor='row-6a03eff37bd71'>\n        \n        \n        <div\n            class=\"bbg-row--content\"\n                    >\n            \n            <p><div\n    class=\"bbg-column bbg-column--width-2\"\n    style=\"\"\n    >\n    \n<\/div><div\n    class=\"bbg-column bbg-column--width-8\"\n    style=\"\"\n    >\n    <p><div\n    class=\"bbg-spacer\"\n        style=\"height: 40px !important\"\n    >\n<\/div><div\n\tclass=\"bb-wysiwyg byline\"\n\t\t>\n\t<p><strong>Bloomberg Professional Services <\/strong><\/p>\n\n<\/div>\n    <p class=\"bbg-metadata bbg-metadata--date\">September 29, 2022<\/p>\n<\/p>\n\n<\/div>\n\n\n                    <\/div>\n    <\/section>\n<\/div>\n\n<div  class=\"bbg-row-container\">\n    <section class=\"bbg-row  text--black row-padding--top-none bbg-row--full-bg-bleed\" data-anchor='row-6a03eff37e346'>\n        \n        \n        <div\n            class=\"bbg-row--content\"\n                    >\n            \n            <p><div\n    class=\"bbg-column bbg-column--width-2\"\n    style=\"\"\n    >\n    \n<\/div><div\n    class=\"bbg-column bbg-column--width-8\"\n    style=\"\"\n    >\n    <p><div\n\tclass=\"bb-wysiwyg\"\n\t\t>\n\t<p>Given the evolving inflation outlook and an active Federal Reserve Bank, most expect rate markets to remain volatile over the next 12 to 18 months. Understanding forward interest rates and changing market expectations is critical for managing interest rate exposure and forecasting expenses. With access to the right data and analytical tools, treasurers and risk managers can make more informed decisions.<\/p>\n<p>The August release of U.S. core inflation of +0.57% (MoM SA) surprised to the upside. Despite a significant monthly drop in energy prices, inflationary pressure is building in core goods and services. The shelter sub-component of the core rate was up 0.69%, which contributed 0.22% to the month over month increase.<\/p>\n\n<\/div>\n<div class=\"bbg-interstitial\" aria-label=\"interstitial\" tabindex=\"0\">\n\t<style>\n\t\t.bbg-interstitial #card_1.bbg-card_hasCta{\n\t\t\tbackground:rgba(0,0,0,0);\n\t\t\tpadding: 104px;\n\t\t\t\n\t\t\t\n\t\t}\n\t\t.bbg-interstitial #card_1.bbg-card_hasCta .bbg-card__content, .bbg-interstitial #card_1.bbg-card_hasCta .bbg-card__content p{\n\t\t\tcolor:inherit;\n\t\t}\n\t\t@media (max-width: 768px) {\n\t\t\t.bbg-interstitial #card_1.bbg-card_hasCta{\n\t\t\t\tpadding: 80px 32px;\n\t\t\t}\n\t\t}\n\t\t@media (max-width: 480px) {\n\t\t\t.bbg-interstitial #card_1.bbg-card_hasCta{\n\t\t\t\tpadding: 80px 18px;\n\t\t\t}\n\t\t}\n\t<\/style>\n\t<div class=\"wpb_content_element bbg-card  bbg-card-dark bbg-card_hasCta has_interstitial\" id=\"card_1\" data-card_type=\"no_image\">\n  \n  \n  <div class=\"bbg-card__innerwrapper\">\n    <div class=\"bbg-card__content\">\n      \n      \n                      <h3 class=\"bbg-card__title\">Corporate treasury insights delivered monthly to your inbox.<\/h3>\n      \n              <div class=\"bbg-card__wysiwyg bb-wysiwyg\"><p>Sign up for the newsletter<\/p>\n<\/div>\n          <\/div>\n\n          \n<div\n  id=\"cta_4397033261758570056\"\n  class=\"wpb_content_element bbg-cta icon icon-arrow\">\n  <style>\n    \n    \n    \n  <\/style>\n  <div\n    class=\"bbg-cta-link link-holder\"\n    data-links-type=\"cta-links\">\n    <p class=\"bbg-cta-p right\">\n      <a\n        class=\"bbg-cta-link link interstitial_cta\"\n        href=\"https:\/\/www.bloomberg.com\/professional\/insights\/newsletter\/\"\n        target=\"_blank\"\n        rel=\"\"\n        data-section-name=\"\"\n                role=\"button\"\n        aria-label=\"Learn more\"\n        >\n                <\/a>\n    <\/p>\n  <\/div>\n<\/div>\n\n      <\/div>\n\n  <\/div>\n\n<\/div>\n<div id=\"\" class=\"wpb_content_element bbg-single-image align-center\">\n    <figure class=\"bbg-single-image__figure\" style=\"max-width:1024px\">\n                <img loading=\"lazy\" decoding=\"async\" width=\"532\" height=\"354\" src=\"https:\/\/assets.bbhub.io\/image\/v1\/resize?width=auto&amp;type=webp&amp;url=https:\/\/assets.bbhub.io\/professional\/sites\/10\/chart-16.png\" class=\"bbg-single-image__image attachment-large\" alt=\"\" title=\"chart-16\" \/>\n        \n                <figcaption class=\"bbg-single-image__caption\" style=\"text-align: left\">\n                CPI CHNG Index \n        <\/figcaption>\n            <\/figure>\n<\/div>\n\n<div\n\tclass=\"bb-wysiwyg\"\n\t\t>\n\t<p>Based on the recent inflation data, the Fed tightened by 75 bps on September 14th and the market is now pricing a good chance of an additional 75 bp hike in early November. \u00a0Implied forward rates derived from quoted swap markets suggest a terminal Fed funds rate of 4.54% by March 2023.<\/p>\n<p>Terminal<sup>\u00ae<\/sup> users can track implied rates corresponding to Fed meeting dates by typing WIRP &lt;GO&gt;.<\/p>\n\n<\/div>\n<div id=\"\" class=\"wpb_content_element bbg-single-image align-center\">\n    <figure class=\"bbg-single-image__figure\" style=\"max-width:1024px\">\n                <img loading=\"lazy\" decoding=\"async\" width=\"624\" height=\"271\" src=\"https:\/\/assets.bbhub.io\/image\/v1\/resize?width=auto&amp;type=webp&amp;url=https:\/\/assets.bbhub.io\/professional\/sites\/10\/article-1.png\" class=\"bbg-single-image__image attachment-large\" alt=\"\" title=\"article-1\" srcset=\"https:\/\/assets.bbhub.io\/image\/v1\/resize?width=auto&amp;type=webp&amp;url=https:\/\/assets.bbhub.io\/professional\/sites\/10\/article-1.png 624w, https:\/\/assets.bbhub.io\/image\/v1\/resize?width=auto&amp;type=webp&amp;url=https:\/\/assets.bbhub.io\/professional\/sites\/10\/article-1.png 552w, https:\/\/assets.bbhub.io\/image\/v1\/resize?width=auto&amp;type=webp&amp;url=https:\/\/assets.bbhub.io\/professional\/sites\/10\/article-1.png 600w\" sizes=\"auto, (max-width: 624px) 100vw, 624px\" \/>\n        \n            <\/figure>\n<\/div>\n\n<div\n\tclass=\"bb-wysiwyg\"\n\t\t>\n\t<p>The significant upward movement in rates this past year and uncertainty around Fed policy presents challenges for corporate profitability and forecasting interest expense. Additionally, the migration from Libor to the ARRC chosen successor rate of SOFR has added operational complexity that treasury departments need to address over the next 6 to 9 months.<\/p>\n<p>To help corporations forecast interest expense, Bloomberg models forward rates by bootstrapping quoted interest rate swaps. These modeled forward projections are available by typing FWCV &lt;GO&gt; on the Terminal. This tool will support calculations for Libor rates and all of the new risk-free rates globally. In the upper left box, users can type SOFR &lt;GO&gt; and toggle to the \u201cImplied Forwards\u201d tab. The \u201cspot\u201d column is derived annualized zero rates and the \u201cprojection\u201d column is modeled forward rates. In the case of SOFR and other overnight risk-free rates, the projected rates represent the annualized daily compounded overnight rate for the chosen tenor.<\/p>\n<p>For clients forecasting CME term SOFR rates, the standard SOFR swap curve (S490) should provide a very close projection. CME term fixings are derived from executed transactions in futures contracts indexed to the published daily SOFR rate. And unlike LIBOR projections, no separate swap curves are needed to project rates for different tenors. All payment tenors and CME term fixings represent the compounded overnight rate for the accrual period.<\/p>\n\n<\/div>\n<div id=\"\" class=\"wpb_content_element bbg-single-image align-center\">\n    <figure class=\"bbg-single-image__figure\" style=\"max-width:1024px\">\n                <img loading=\"lazy\" decoding=\"async\" width=\"624\" height=\"258\" src=\"https:\/\/assets.bbhub.io\/image\/v1\/resize?width=auto&amp;type=webp&amp;url=https:\/\/assets.bbhub.io\/professional\/sites\/10\/article-2.png\" class=\"bbg-single-image__image attachment-large\" alt=\"\" title=\"article-2\" srcset=\"https:\/\/assets.bbhub.io\/image\/v1\/resize?width=auto&amp;type=webp&amp;url=https:\/\/assets.bbhub.io\/professional\/sites\/10\/article-2.png 624w, https:\/\/assets.bbhub.io\/image\/v1\/resize?width=auto&amp;type=webp&amp;url=https:\/\/assets.bbhub.io\/professional\/sites\/10\/article-2.png 552w, https:\/\/assets.bbhub.io\/image\/v1\/resize?width=auto&amp;type=webp&amp;url=https:\/\/assets.bbhub.io\/professional\/sites\/10\/article-2.png 600w\" sizes=\"auto, (max-width: 624px) 100vw, 624px\" \/>\n        \n            <\/figure>\n<\/div>\n\n<div\n\tclass=\"bb-wysiwyg\"\n\t\t>\n\t<p>A parallel function to FWCV &lt;GO&gt;, FWCM &lt;GO&gt; presents derived medium-term swap rate levels rather than forward rate projections for short tenors. Corporate treasurers can utilize FWCM to monitor forward SOFR interest rate swaps for both hedging and issuance requirements. In the image below, the SOFR swap curve is displayed in columns, and each column represents a forward point in time (1Mo, 2Mo, 3Mo, etc.). Given the current inverted SOFR swap yield curve, a 6m forward-10y swap rate was actually 4 bps lower than the quoted 10y swap in the image from September 14, 2022.<\/p>\n\n<\/div>\n<div id=\"\" class=\"wpb_content_element bbg-single-image align-center\">\n    <figure class=\"bbg-single-image__figure\" style=\"max-width:1024px\">\n                <img loading=\"lazy\" decoding=\"async\" width=\"624\" height=\"215\" src=\"https:\/\/assets.bbhub.io\/image\/v1\/resize?width=auto&amp;type=webp&amp;url=https:\/\/assets.bbhub.io\/professional\/sites\/10\/article-3.png\" class=\"bbg-single-image__image attachment-large\" alt=\"\" title=\"article-3\" srcset=\"https:\/\/assets.bbhub.io\/image\/v1\/resize?width=auto&amp;type=webp&amp;url=https:\/\/assets.bbhub.io\/professional\/sites\/10\/article-3.png 624w, https:\/\/assets.bbhub.io\/image\/v1\/resize?width=auto&amp;type=webp&amp;url=https:\/\/assets.bbhub.io\/professional\/sites\/10\/article-3.png 552w, https:\/\/assets.bbhub.io\/image\/v1\/resize?width=auto&amp;type=webp&amp;url=https:\/\/assets.bbhub.io\/professional\/sites\/10\/article-3.png 600w\" sizes=\"auto, (max-width: 624px) 100vw, 624px\" \/>\n        \n            <\/figure>\n<\/div>\n\n<\/div><div\n    class=\"bbg-column bbg-column--width-2\"\n    style=\"\"\n    >\n    \n<\/div>\n\n\n                    <\/div>\n    <\/section>\n<\/div>\n\n<div  class=\"bbg-row-container\">\n    <style>section[data-anchor=row-6a03eff38e90c]::before {\n\t\t\t\tbackground-color: #eeeeee;\n\t\t\t}<\/style>\n    <section class=\"bbg-row bg--custom-color  bg--eeeeee text--black bbg-row--full-bg-bleed\" data-anchor='row-6a03eff38e90c'>\n        \n        \n        <div\n            class=\"bbg-row--content\"\n                    >\n            \n            <div\n    class=\"bbg-column\"\n    style=\"\"\n    >\n    <div\n\tclass=\"bb-wysiwyg\"\n\t\t>\n\t<h2>Recommended for you<\/h2>\n\n<\/div>\n<div\n    class=\"bbg-spacer\"\n        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