Swap involves paying 3.5% per annum and receiving LIBOR every six months on $100 million. Swap has months remaining (exchanges in 6, 12 and 18 months) LIBOR rate applicable to exchange in 6 months is 2.7%. Forward LIBOR rates for 6-12 month period and 12-18 month periods are 3.5% and 3.8%, respectively. Discount rates for maturities of 6, 12, and 18 months are 2.9%, 3.1%, and 3.3%, respectively. Find the value of this SWAP.

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