A financial institution has agreed to pay three-month LIBOR and to receive 6% per annum in return in an interest rate swap. The notional principal is $50 million and payments are exchanged every three months. The swap has a remaining life of 10 months.

Three-month forward LIBOR for all maturities is currently 6.6% per annum. The three-month LIBOR rate two months ago was 6.4% per annum. OIS rates for all maturities are currently 5% with continuous compounding. All other rates are compounded quarterly.

What is the value of the swap?