A financial institution has entered an interest rate swap with company X. Under the terms of the swap, it receives 10% per annum (with semiannual compounding) and pays six-month LIBOR on a principal of $10 million for 7 years. Payments are made every six months. Suppose that company X defaults on the fourth payment date (end of year 2) when the LIBOR/swap interest rate (with semiannual compounding) is 6% per annum for all maturities. Assume that six-month LIBOR was 4% per annum halfway through year 2. Use the bond valuation method to calculate the loss to the financial institution