A financial institution has a swap where it receives 3.0% per annum and pays six-month LIBOR on a principal of $100 million. The swap has a remaining life of 1.25 years. The LIBOR rates with continuous compounding for 3-month, 9-month, and 15-month maturities are 2.8%, 3.2%, and 3.4%, respectively. The six-month LIBOR rate was 2.2121% with semi-annual compounding. The LIBOR rate applicable to the exchange in 0.25 years was determined 0.25 years ago; suppose it was 3.0% with semi-annual compounding (LIBOR has dropped in the meantime). Which is nearest to the present value of the swap to the financial institution?