Question: 1 15 points Yields on the SOFR (Securitized Overnight Financing Rate) in the US are 5.3% and overnight yields in Switzerland are at 1.75%.

1 15 points Yields on the SOFR (Securitized Overnight Financing Rate) in

1 15 points Yields on the SOFR (Securitized Overnight Financing Rate) in the US are 5.3% and overnight yields in Switzerland are at 1.75%. Frost Bank would like to borrow using floating rates in Switzerland for 10 years, and it can borrow in Swiss Francs at a 3.3% yield-to-maturity, resetting at 155 basis points over short-term rates every 3 months. Frost Bank can borrow in the US at 6.1% yield-to-maturity, resetting at 80 basis points over the SOFR every 3 months. UBS (Union Bank of Switzerland) would like to have floating US denominated debt. UBS can currently borrow in the US at a 6% rate, resetting at SOFR + 70 basis points in the US, or it can borrow in Swiss Francs at 2.35% resetting at the SF short-term rate + 60 basis points. If Frost Bank and UBS decide to enter into a swap, what is the QSD (in basis points)?

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