A financial institution has entered into an interest rate swap with company X. Under the terms of the swap, the institution receives 10% (p.a. convertible semi-annually) and pays BBSW on a principal of $10 million for 4 years. Payments are made every six months. Suppose that company X defaults on the fifth payment date when the interest rate (with continuously compounding) is 8% per annum for all maturities. What is the loss to the financial institution? Assume that six-month BBSW was 9% p.a. compounded semi-annually halfway through year 3.