Consider a USD 50 million notional quarterly settled fixed-to-floating interest rate swap on 3-month USD LIBOR. We assume this swap was originally for 5 years but now has 9 months remaining and was originally struck at 1.8 %. Based on the swap rate curve, we see that a 9-month swap rate is now 0.620%.

Calculate the value of this derivative based on the following spot rate.

Tenor	Bootstrapped Rate
3-months		0.210%
6-months	Spot0x6	0.456%
9-months	Spot0x9	0.621%
12-months	Spot0x12	0.826%