Both deals went smoothly until Company B claimed bankruptcy. By that time, there were still 14 months left before the swap contract between the FI and Company B expired. As a result, Tom needs to evaluate the swap contract with Bob and immediately assess the possible loss. Lets assume that in the swap contract, Toms company pays 7.22% per annum and receives 3-month LIBOR in return on a notional principal of $10 million with payments being exchanged every three months. One month ago, the 3-month LIBOR rate was 7.5% per annum. Assume the zero rate is 7.45% per annum for all maturities. All rates are annualized rates and compounded quarterly. What is the value of the swap on FIs book? You need to show your analysis/calculation process explicitly.