An interest rate swap with a notional of $100mln involves payment of 5% per annum fixed (paid semiannually) in exchange for 6-mo SOFRflat. The remaining life is 10 months. Interest is exchanged every six months. Two months ago, a SOFR Term Rate was fixed at 4.5% and that will be floating rate applicable at the first upcoming payment date. The implied forward SOFR rate for the period 4-10 months from now is 4.85%. Risk-free rates are 4.30% for 4 months and 4.65% for 10 months with continuous compounding. What is the value of this swap to the Receiver of the fixed rate?

Question 8 options:

$256,611

$318,592

$143,830

$199,777