Can someone explain the difference between term SOFR and Swap rate please? I understand the basic definitions, ie, SOFR = overnight lending rate; term SOFR = say the 10Y, is the expected 10Y SOFR rate. Then Swap rate is the “fixed” leg against a floating leg, which is based on SOFR.
When i price a IRS in Bloomberg with 1day SOFR, 10Y term, I get the 10Y swap rate, and that’s the same as the 10Y Term SOFR. Are they they same thing?
What’s confusing to me is when I type in the Swap curve in Bloomberg (USD OIS Curve), the 10Y tenor is different from the Term SOFR.
This is not the case for GBP, SONIA equals to the GBP OIS curve.