James Bank has entered into a swap contract with HBP Corp. where it agreed to receive quarterly payments at a rate of 4% per annum and pay the SOFR three-month reference rate on a notional principal of $10 million. The swap has a remaining life of 10 months now. The risk-free rates with continuous compounding (calculated from SOFR) for 1, 4, 7, and 10 months are 3.5%, 3.7%, 3.8% and 3.9% respectively. The continuously compounded three-month risk-free rate observed at 2 months ago was 3%. Show the value of the swap to James Bank.