21. An interest rate swap has three years of remaining life. Payments are exchanged annually. Interest at 2.85% fixed is paid and 12-month LIBOR is received. An exchange of payments has just taken place. The one-year, two-year and three-year year LIBOR Forward rates are 1.85%, 2.00% and 2.20%. The one-year, two-year and three-year year OIS rates are 2.65%, 2.80% and 2.85%. All rates are compounded continuously. What is the value of the swap if the principal is $175 million? (Answer with 2 decimal places) ( show working)