A financial institution has entered into an interest rate swap with company X. Under the terms of the swap, it receives 4% per annum and pays six-month LIBOR on a principal of $10 million for five years. Payments are made every six months. Suppose that company X defaults on the sixth payment date (end of year 3) when the six-month forward LIBOR rates for all maturities are 2% per annum. What is the loss on the swap to the financial institution? Assume that six-month LIBOR was 3% per annum halfway through year 3, and that at the time of default all risk-free rates are 1.8% per annum. The risk-free rates are expressed with continuous compounding; other rates are expressed with semiannual compounding.

(Round your answer to the second decimal places, e.g. 1234.56)

I have 19,484.38. Is this correct?