Under the terms of an interest rate swap, a financial institution has agreed to pay 11% per annum and 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 13 months. The annualized LIBOR rates are 11.5% for all maturities with continuous compounding. The three-month LIBOR rate two months ago was 12% per annum. All rates are compounded quarterly. What is the value of the swap for the fixed-rate payer?