3. Basis swap

• Trade

  • Floating vs Floating Swap

  • Start date: 10 November 2009

  • Tenor: 12 months

  • Notional: USD 10,000,000.00

  • Client pays 3M Term SOFR + 70bps (act/360, quarterly)

  • Client receives 12M Term SOFR (act/360, annual)

• Challenges for AI

  • What does “Term” mean in front of SOFR

  • What is “Tenor”? Are we at the opera?

  • Is 70bps part of the index or a separate parameter

  • Schedule details not specified