Question: Suppose that at the present time, one can enter 5 - year swaps that exchange SOFR for 4 % . An off - market swap

Suppose that at the present time, one can enter 5-year swaps that exchange SOFR for 4%. An
off-market swap would then be defined as a swap of SOFR for a fixed rate other than 4%. For
example, a firm with 8% coupon debt outstanding might like to convert to synthetic floating-
rate debt by entering a swap in which it pays SOFR and receives a fixed rate of 8%. What up-
front payment will be required to induce a counterparty to take the other side of this swap?
Assume notional principal is $110 million.
Note: Do not round intermediate calculations. Round your final answer to the nearest dollar
amount.
Answer is complete but not entirely correct.
Suppose that at the present time, one can enter 5-year swaps

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