Company A is a counterparty to a four-year plain-vanilla interest rate swap has declared bankruptcy, with exactly 16 months remain until the swap matures. In the swap, they receives 4% per annum fixed rate and pays six-month Australian dollar (AUD) libor based on a principal of AUD10 million. The next floating rate payment would have been at the rate of 3.5% p.a. For all maturities, the continuously compounded AUD interest rate is 3% per annum. What is the value of the potential loss to them?