In an interest rate swap, a financial institution has agreed to pay 2.6% per annum and to receive three-month LIBOR in return on a notional principal of $100 million with payments being exchanged every three months. The swap has a remaining life of 14 months. Three-month forward LIBOR for all maturities is currently 4% per annum. The three-month LIBOR rate one month ago was 2.2% per annum. OIS rates for all maturities are currently 3.0% with continuous compounding. All other rals are compounded quarterly. What is the value of the swap