An interest rate swap has three years of remaining life. Payments are exchanged annually. Under the terms of the swap, fixed interest is paid at 2.6%, and 12-month LIBOR is received. The one-year, two-year and three-year LIBOR rates are 1.6%, 2.8% and 3.7%. All rates are annually compounded. What is the value of the swap? Assume a principal value of $1,000