Alpha Corp. enters an interest rate swap with a notional amount of $50 million in which the company agrees to pay fixed rate payments and receive floating rate payments based on the Secured Overnight Financing Rate (SOFR, which replaced LIBOR in the US). The payments will be made every 90 days for one year and will be based on an adjustment factor of 90/360. The annualised SOFR spot rates today are: 

 

Days	Annualised SOFR Rate (%)
90	5.00
180	5.25
270	5.45
360	6.00

 

Answer the following: 

 

1. Determine the fixed rate on the swap (maintain 6 decimals throughout all your calculations). 

 

1. Calculate the first net payment or receipt (indicate which) on the swap. 

 

1. Assume that it is now 30 days into the life of the swap. Calculate the value of the swap if the new term structure of the SOFR is as follows: 

 

Days	Annualised SOFR Rate (%)
60	5.10
150	5.37
240	5.50
330	6.20