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  • February 16, 2023
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SOFR Swap

A swap that entails payment of a fixed-rate on an annual, Act/360 basis by one counterparty against payment (by the other counterparty) of a floating rate being SOFR (secured overnight financing rate), reset daily and paid annually on an Act/360 basis. This swap is an interest rate swap (IRS) consisting of two different legs: fixed and floating.

SOFR swap has evolved from the classic LIBOR swap, as both swaps involve the use of floating rate on one leg: SOFR in the former and LIBOR in the latter.


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