Par Swap Rate (SFR)
The fixed rate that makes an interest rate swap have zero NPV at inception.
SFR = (1 − DF_n) / Σ(DF_i × δ_i), where DF_i = e^(−r_i×T_i) are discount factors from the SOFR zero curve and δ_i are day count fractions (ACT/360 standard). The numerator (1 − DF_n) represents the net present value of the 'floating leg' (which resets to par). The denominator Σ(DF_i×δ_i) is the annuity factor. The par swap rate equals the fixed coupon that makes the swap's fixed leg PV equal to the floating leg PV at inception.
Formula