An investment bank agrees on an interest swap contract with a firm. Semiannual payments are arranged: the firm pays six-month LIBOR, whereas the bank pays a fixed rate of \(4 \%\) with semiannual compounding. The notional value is \(€ 20\) million and the maturity is four years. After exactly 28 months the firm goes bankrupt and defaults. Let us assume that, when default occurs, the term structure is flat, at \(5 \%\) with continuous compounding, and that the last relevant LIBOR observation was 7\%. What is the profit/loss for the bank?