3. Morgan Stanley and Apple agree on an interest rate swap on September 29, 2020 on a notional principal of $100 million. Morgan will make annual floating-rate payments according to the 1-year LIBOR plus 0.5%. Apple in return will make annual fixed-rate payments. The first cash flow exchange will occur on September 29, 2021. The contract will last for a period of 3 years. On September 29, 2020, the following LIBOR zero rates and the continuously compounded interest rates are as follows:

Maturity	LIBOR Zero Rate (%)	Risk-free Rate (%)
1 year	1.75	1.00
2 years	2.00	1.00
3 years	2.25	1.00

c) (3 points) On September 29, 2022, the LIBOR zero rate and risk-free interest rate for the remaining one year are:

Maturity	LIBOR Zero Rate (%)	Risk-free Rate (%)
1 year	2.50	1.00

Compute the value of the swap to Morgan (assuming a 3% fixed rate).