The swap’s fixed payment is based on the fixed rate at the initiation of the swap.
The pay-fixed side of the swap pays:
$200,000,000 × 0.043 × (92/360) = $2,197,778
The swap’s floating payment is based on the previous quarter LIBOR.
The pay-floating side of the swap pays:
$200,000,000 × (0.044 + 0.005) × 92/360 = $2,504,444
Therefore, the pay-fixed/receive-floating portion of the swap receives:
$2,504,444 - $2,197,778 = $306,667
