A financial institution (FI) has agreed to pay 10% pa compounded quarterly and, in return receive three-month LIBOR on a notional principal of $100 million with payments being exchanged every three months. The last swap happened one month back. At that point, the three-month LIBOR rate was 12% pa. The swap has a remaining life of 8 months and now the yield curve has flattened to 12% pa compounded continuously. What is the value of the swap to the FI? (Be careful with the interest rates simple, compounded quarterly and compounded continuously. May make sense to write down the schedule of payments before you start number crunching.)