4. Fixed for Floating swap

• Trade

  • Notional: 10,000,000,000

  • Bank pays: 6M USD Term SOFR, semi-annual, act/360

  • Bank receives: EUR fixed 2.45%, semi-annual, bond basis

  • Notional exchange: Both

  • Start date: 10 November 2009

  • Tenor: 5y

• Challenges for AI

  • What is bond basis and does it depend on currency

  • What is notional exchange and what does “both” refer to