An interest rate swap has three years of remaining life. Payments are exchanged annually. Under the terms of the swap, fixed interest is paid at 3.5%, and 12-month SOFR is received. The one-year, two-year and three-year SOFR rates are 1.1%, 2.5% and 3.2%. All rates are annually compounded. What is the value of the swap to the fixed-rate payer? Assume a principal value of $1,000