Question: Suppose that at the present time, one can enter 5 -year swaps that exchange SOFR for 6%. An off-market swap would then be defined as

Suppose that at the present time, one can enter 5 -year

Suppose that at the present time, one can enter 5 -year swaps that exchange SOFR for 6%. An off-market swap would then be defined as a swap of SOFR for a fixed rate other than 6%. For example, a firm with 9% 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 9%. What up-front payment will be required to induce a counterparty to take the other side of this swap? Assume notional principal is $55 million. Note: Do not round intermediate calculations. Round your final answer to the nearest dollar amount

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