A company entered into a swap agreement where it pays six-month LIBOR and receives 8% (semi-annual compounding) on a principal of $100 million. The remaining life of the swap is 21 months. The continuously compounded LIBOR rates for 3-months, 9-months, 15-months and 21-months are 10%, 10.5%, 11% and 11.5%. The six months LIBOR on the last payment date was 9.5% (semi-annual compounding). Find the value of the swap to the company.